Tuesday, December 06, 2016

Stocks Higher into Final Hour on Less European/Emerging Markets/US High-Yield Debt Angst, Yen Weakness, Short-Covering, Homebuilding/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Slightly Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 11.8 -2.8%
  • Euro/Yen Carry Return Index 127.60 -.30%
  • Emerging Markets Currency Volatility(VXY) 10.86 +.28%
  • S&P 500 Implied Correlation 51.21 -1.14%
  • ISE Sentiment Index 87.0 +2.35%
  • Total Put/Call .87 +1.16%
  • NYSE Arms 1.06 +28.32%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.18 -2.62%
  • America Energy Sector High-Yield CDS Index 533.0 +7.18%
  • European Financial Sector CDS Index 101.38 -5.81%
  • Western Europe Sovereign Debt CDS Index 23.42 -.34%
  • Asia Pacific Sovereign Debt CDS Index 39.68 -2.06%
  • Emerging Market CDS Index 257.80 -3.32%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.93 -.06%
  • 2-Year Swap Spread 23.0 -1.25 basis points
  • TED Spread 46.0 -1.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -56.25 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.97 +.43%
  • 3-Month T-Bill Yield .49% +3.0 basis points
  • Yield Curve 128.0 +1.0 basis point
  • China Import Iron Ore Spot $79.73/Metric Tonne +1.41%
  • Citi US Economic Surprise Index 30.10 +1.4 points
  • Citi Eurozone Economic Surprise Index 66.10 +7.2 points
  • Citi Emerging Markets Economic Surprise Index 3.9 +.3 point
  • 10-Year TIPS Spread 1.99% +2.0 basis points
  • 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +150 open in Japan 
  • China A50 Futures: Indicating +16 open in China
  • DAX Futures: Indicating +47 open in Germany
Portfolio: 
  • Higher: On gains in my retail/biotech/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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