Monday, December 19, 2016

Stocks Higher into Afternoon on Lower Long-Term Rates, Less European/Emerging Markets/US High-Yield Debt Angst, Short-Covering, Tech/Telecom Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.68 -4.3%
  • Euro/Yen Carry Return Index 127.55 -.97%
  • Emerging Markets Currency Volatility(VXY) 11.45 +.17%
  • S&P 500 Implied Correlation 50.78 +.67%
  • ISE Sentiment Index 108.0 +66.15%
  • Total Put/Call 1.22 +34.07%
  • NYSE Arms 1.80 +54.38%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.59 -1.74%
  • America Energy Sector High-Yield CDS Index 449.0 -.35%
  • European Financial Sector CDS Index 95.06 +1.44%
  • Western Europe Sovereign Debt CDS Index 20.0 -2.25%
  • Asia Pacific Sovereign Debt CDS Index 37.55 +.82%
  • Emerging Market CDS Index 245.47 -1.32%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.04 +.04%
  • 2-Year Swap Spread 27.0 +1.25 basis points
  • TED Spread 51.0 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -58.75 -4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.30 -.08%
  • 3-Month T-Bill Yield .49% -1.0 basis point
  • Yield Curve 132.0 -2.0 basis points
  • China Import Iron Ore Spot $81.22/Metric Tonne -.33%
  • Citi US Economic Surprise Index 23.2 +.3 point
  • Citi Eurozone Economic Surprise Index 60.60 -2.7 basis points
  • Citi Emerging Markets Economic Surprise Index 6.60 +1.0 points
  • 10-Year TIPS Spread 1.89% unch.
  • 29.8% chance of Fed rate hike at March 15 meeting, 42.2% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +32 open in Japan 
  • China A50 Futures: Indicating -18 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Higher: On gains in my tech/retail sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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