Monday, November 14, 2016

Stocks Slightly Higher into Final Hour on US Economic Optimism, Yen Weakness, Oil Reversal, Financial/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 14.68 +3.60%
  • Euro/Yen Carry Return Index 121.53 +.53%
  • Emerging Markets Currency Volatility(VXY) 11.51 +2.04%
  • S&P 500 Implied Correlation 33.60 -9.7%
  • ISE Sentiment Index 104.0 +48.57%
  • Total Put/Call .95 -10.38%
  • NYSE Arms .51 -52.09
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.98 +1.32%
  • America Energy Sector High-Yield CDS Index 647.0 +.69%
  • European Financial Sector CDS Index 103.25 +2.78%
  • Western Europe Sovereign Debt CDS Index 21.66 +4.01%
  • Asia Pacific Sovereign Debt CDS Index 46.07 +10.16%
  • Emerging Market CDS Index 282.57 +5.81%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.71 -.03%
  • 2-Year Swap Spread 24.0 -.75 basis point
  • TED Spread 41.75 -1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -45.0 -4.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.58 -.73%
  • 3-Month T-Bill Yield .51% +4.0 basis points
  • Yield Curve 124.0 unch.
  • China Import Iron Ore Spot $77.77/Metric Tonne -2.56%
  • Citi US Economic Surprise Index -6.30 +1.6 points
  • Citi Eurozone Economic Surprise Index 36.7 +2.1 points
  • Citi Emerging Markets Economic Surprise Index -3.40 +1.2 points
  • 10-Year TIPS Spread 1.86% -5.0 basis points
  • 92.5% chance of Fed rate hike at Feb. 1 meeting, 93.5% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +73 open in Japan 
  • China A50 Futures: Indicating -20 open in China
  • DAX Futures: Indicating +18 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/retail sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: