Monday, October 31, 2016

Stocks Slightly Higher into Final Hour on Earnings Optimism, Yen Weakness, Technical Buying, REIT/Metals & Mining Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.6 +8.8%
  • Euro/Yen Carry Return Index 120.17 unch.
  • Emerging Markets Currency Volatility(VXY) 9.8 +.1%
  • S&P 500 Implied Correlation 58.75 +10.58%
  • ISE Sentiment Index 55.o0 unch.
  • Total Put/Call 1.04 -5.45%
  • NYSE Arms .97 -1.12
Credit Investor Angst:
  • North American Investment Grade CDS Index 78.57 +2.37%
  • America Energy Sector High-Yield CDS Index 607.0 +1.69%
  • European Financial Sector CDS Index 96.96 +.99%
  • Western Europe Sovereign Debt CDS Index 19.01 +2.20%
  • Asia Pacific Sovereign Debt CDS Index 35.57 +4.69%
  • Emerging Market CDS Index 241.50 +1.57%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.55 +.01%
  • 2-Year Swap Spread 23.35 +.5 basis point
  • TED Spread 60.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -48.25 -2.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.25 +.15%
  • 3-Month T-Bill Yield .30% +2.0 basis points
  • Yield Curve 98.0 -1.0 basis point
  • China Import Iron Ore Spot $64.38/Metric Tonne +.66%
  • Citi US Economic Surprise Index -8.1 +1.0 point
  • Citi Eurozone Economic Surprise Index 40.8 -2.7 points
  • Citi Emerging Markets Economic Surprise Index -13.90 -.2 point
  • 10-Year TIPS Spread 1.74% +1.0 basis point
  • 71.4% chance of Fed rate hike at Dec. 14 meeting, 72.6% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -15 open in Japan 
  • China A50 Futures: Indicating +3 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Lower: On losses in my medical/biotech sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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