Wednesday, October 19, 2016

Stocks Modestly Higher into Final Hour on Less Emerging Markets/US High-Yield Debt Angst, Earnings Optimism, Oil Gain, Commodity/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.35 -6.09%
  • Euro/Yen Carry Return Index 118.47 -.54%
  • Emerging Markets Currency Volatility(VXY) 9.67 -1.43%
  • S&P 500 Implied Correlation 43.78 -6.07%
  • ISE Sentiment Index 63.0 -5.97%
  • Total Put/Call .94 -2.08%
  • NYSE Arms .73 -16.64
Credit Investor Angst:
  • North American Investment Grade CDS Index 73.44 -2.39%
  • America Energy Sector High-Yield CDS Index 540.0 -9.15%
  • European Financial Sector CDS Index 95.25 -2.81%
  • Western Europe Sovereign Debt CDS Index 18.89 +2.05%
  • Asia Pacific Sovereign Debt CDS Index 33.80 -1.82%
  • Emerging Market CDS Index 236.98 -3.21%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.50 unch.
  • 2-Year Swap Spread 23.25 +.5 basis point
  • TED Spread 55.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -38.5 +2.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.58 +.24%
  • 3-Month T-Bill Yield .33% unch.
  • Yield Curve 95.0 +.25 basis point
  • China Import Iron Ore Spot $58.37/Metric Tonne -.07%
  • Citi US Economic Surprise Index -23.60 -6.9 points
  • Citi Eurozone Economic Surprise Index 18.3 -2.1 points
  • Citi Emerging Markets Economic Surprise Index -18.40 -.1 point
  • 10-Year TIPS Spread 1.69% +1.0 basis point
  • 62.6% chance of Fed rate hike at Dec. 14 meeting, 64.1% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +19 open in Japan 
  • China A50 Futures: Indicating +18 open in China
  • DAX Futures: Indicating +2 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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