Friday, December 09, 2016

Stocks Higher into Final Hour on US Economic Optimism, Yen Weakness, Oil Gain, Drug/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 11.74 -7.12%
  • Euro/Yen Carry Return Index 126.94 +.40%
  • Emerging Markets Currency Volatility(VXY) 11.18 +1.64%
  • S&P 500 Implied Correlation 48.53 +.91%
  • ISE Sentiment Index 93.0 -27.91%
  • Total Put/Call .83 +13.70%
  • NYSE Arms .83 -8.77%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.92 -1.03%
  • America Energy Sector High-Yield CDS Index 461.0 -1.21%
  • European Financial Sector CDS Index 98.40 +1.67%
  • Western Europe Sovereign Debt CDS Index 23.94 +3.35%
  • Asia Pacific Sovereign Debt CDS Index 35.93 -.54%
  • Emerging Market CDS Index 249.66 +.08%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.03 +.03%
  • 2-Year Swap Spread 23.0 unch.
  • TED Spread 42.5 -2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -54.50 -4.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.82 -.35%
  • 3-Month T-Bill Yield .53% +3.0 basis points
  • Yield Curve 134.0 +5.0 basis points
  • China Import Iron Ore Spot $81.66/Metric Tonne -.15%
  • Citi US Economic Surprise Index 30.20 +.7 point
  • Citi Eurozone Economic Surprise Index 62.60 -2.0 basis points
  • Citi Emerging Markets Economic Surprise Index 2.90 -4.4 points
  • 10-Year TIPS Spread 2.0% unch.
  • 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +238 open in Japan 
  • China A50 Futures: Indicating +23 open in China
  • DAX Futures: Indicating +11 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/tech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

No comments: