Tuesday, December 20, 2016

Stocks Higher into Afternoon on Seasonal Strength, Yen Weakness, Short-Covering, Financial/Retail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.60 -.94%
  • Euro/Yen Carry Return Index 127.89 +.49%
  • Emerging Markets Currency Volatility(VXY) 11.39 -.18%
  • S&P 500 Implied Correlation 50.27 -1.85%
  • ISE Sentiment Index 84.0 -27.6%
  • Total Put/Call .91 -22.22%
  • NYSE Arms .87 -37.96%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.15 -1.28%
  • America Energy Sector High-Yield CDS Index 452.0 +.57%
  • European Financial Sector CDS Index 93.48 -1.66%
  • Western Europe Sovereign Debt CDS Index 20.23 +1.15%
  • Asia Pacific Sovereign Debt CDS Index 37.92 +1.0%
  • Emerging Market CDS Index 242.71 -1.65%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.04 unch.
  • 2-Year Swap Spread 27.0 unch.
  • TED Spread 48.50 -2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -58.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.41 +.20%
  • 3-Month T-Bill Yield .51% +2.0 basis points
  • Yield Curve 133.0 +1.0 basis point
  • China Import Iron Ore Spot $79.62/Metric Tonne -1.97%
  • Citi US Economic Surprise Index 23.3 +.1 point
  • Citi Eurozone Economic Surprise Index 58.80 -1.8 basis points
  • Citi Emerging Markets Economic Surprise Index 6.90 +.3 point
  • 10-Year TIPS Spread 1.93% +4.0 basis points
  • 29.6% chance of Fed rate hike at March 15 meeting, 42.0% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +115 open in Japan 
  • China A50 Futures: Indicating -28 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/retail/biotech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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