Tuesday, December 27, 2016

Stocks Modestly Higher into Final Hour on US Economic Optimism, Oil Gain, Short-Covering, Metals & Mining/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.90 +4.0%
  • Euro/Yen Carry Return Index 128.28 +.31%
  • Emerging Markets Currency Volatility(VXY) 11.36 -.70%
  • S&P 500 Implied Correlation 48.01 -2.42%
  • ISE Sentiment Index 53.0 -48.54%
  • Total Put/Call 1.06 +23.26%
  • NYSE Arms .70 -16.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.33 -.88%
  • America Energy Sector High-Yield CDS Index 454.0 +.79%
  • European Financial Sector CDS Index 91.53 +.19%
  • Western Europe Sovereign Debt CDS Index 20.53 +.79%
  • Asia Pacific Sovereign Debt CDS Index 37.32 +.59%
  • Emerging Market CDS Index 243.86 -.49%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.94 -.26%
  • 2-Year Swap Spread 28.25 -1.75 basis points
  • TED Spread 46.0 -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -66.25 -4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.61 -.05%
  • 3-Month T-Bill Yield .51% unch.
  • Yield Curve 133.0 -1.0 basis point
  • China Import Iron Ore Spot $79.42/Metric Tonne +1.64%
  • Citi US Economic Surprise Index 24.50 -1.1 points
  • Citi Eurozone Economic Surprise Index 46.0 -8.5 basis points
  • Citi Emerging Markets Economic Surprise Index 10.40 +.5 point
  • 10-Year TIPS Spread 2.01% +1.0 basis point
  • 33.3% chance of Fed rate hike at March 15 meeting, 43.7% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +47 open in Japan 
  • China A50 Futures: Indicating +3 open in China
  • DAX Futures: Indicating +1 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/retail sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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