Monday, November 07, 2016

Stocks Surging into Final Hour on Perception of Less Election Uncertainty, Oil Bounce, Yen Weakness, Biotech/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 18.56 -17.46%
  • Euro/Yen Carry Return Index 120.55 +.48%
  • Emerging Markets Currency Volatility(VXY) 10.19 -4.77%
  • S&P 500 Implied Correlation 60.72 -16.31%
  • ISE Sentiment Index 82.0 +1.23%
  • Total Put/Call 1.15 -15.44%
  • NYSE Arms .48 -54.09
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.44 -4.15%
  • America Energy Sector High-Yield CDS Index 664.0 +1.72%
  • European Financial Sector CDS Index 97.06 -3.08%
  • Western Europe Sovereign Debt CDS Index 19.44 unch.
  • Asia Pacific Sovereign Debt CDS Index 35.20 -3.24%
  • Emerging Market CDS Index 235.33 -6.07%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.65 +.05%
  • 2-Year Swap Spread 25.25 +1.0 basis point
  • TED Spread 49.0 -2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -45.25 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.22 +.21%
  • 3-Month T-Bill Yield .40% +3.0 basis points
  • Yield Curve 100.0 unch.
  • China Import Iron Ore Spot $67.43/Metric Tonne +3.74%
  • Citi US Economic Surprise Index -11.90 +1.0 point
  • Citi Eurozone Economic Surprise Index 37.0 +.8 point
  • Citi Emerging Markets Economic Surprise Index -1.50 +1.5 points
  • 10-Year TIPS Spread 1.73% +4.0 basis points
  • 82.7% chance of Fed rate hike at Feb. 1 meeting, 84.4% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +97 open in Japan 
  • China A50 Futures: Indicating +38 open in China
  • DAX Futures: Indicating -10 open in Germany
Portfolio: 
  • Higher: On gains in my medical/biotech/retail/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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