Tuesday, November 15, 2016

Stocks Higher into Final Hour on Economic Optimism, Less European/Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Commodity/Technology Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.38 -7.6%
  • Euro/Yen Carry Return Index 122.31 +.57%
  • Emerging Markets Currency Volatility(VXY) 11.05 -3.32%
  • S&P 500 Implied Correlation 29.24 -6.25%
  • ISE Sentiment Index 93.0 -5.1%
  • Total Put/Call .93 +2.2%
  • NYSE Arms 1.16 +109.94
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.86 -2.86%
  • America Energy Sector High-Yield CDS Index 652.0 +.87%
  • European Financial Sector CDS Index 100.62 -2.55%
  • Western Europe Sovereign Debt CDS Index 20.73 -4.36%
  • Asia Pacific Sovereign Debt CDS Index 43.04 -6.60%
  • Emerging Market CDS Index 268.77 -5.14%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.72 +.01%
  • 2-Year Swap Spread 24.0 unch.
  • TED Spread 41.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -47.50 -2.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.91 +.37%
  • 3-Month T-Bill Yield .49% -2.0 basis points
  • Yield Curve 124.0 unch.
  • China Import Iron Ore Spot $72.68/Metric Tonne -6.54%
  • Citi US Economic Surprise Index -2.20 +4.1 points
  • Citi Eurozone Economic Surprise Index 39.3 +2.6 points
  • Citi Emerging Markets Economic Surprise Index -4.40 -1.0 point
  • 10-Year TIPS Spread 1.87% +1.0 basis point
  • 94.4% chance of Fed rate hike at Feb. 1 meeting, 95.0% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +207 open in Japan 
  • China A50 Futures: Indicating +6 open in China
  • DAX Futures: Indicating +11 open in Germany
Portfolio: 
  • Higher: On gains in my medical/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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