Monday, December 05, 2016

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

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Slightly Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.47 -11.69%
  • Euro/Yen Carry Return Index 127.85 +1.11%
  • Emerging Markets Currency Volatility(VXY) 10.92 -.27%
  • S&P 500 Implied Correlation 51.73 -2.85%
  • ISE Sentiment Index 92.0 +12.2%
  • Total Put/Call .82 -10.87%
  • NYSE Arms .74 -25.81%
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.14 -1.15%
  • America Energy Sector High-Yield CDS Index 500.0 -9.07%
  • European Financial Sector CDS Index 107.63 +2.75%
  • Western Europe Sovereign Debt CDS Index 23.50 +1.38%
  • Asia Pacific Sovereign Debt CDS Index 40.51 -2.33%
  • Emerging Market CDS Index 266.42 -2.35%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.0 +.04%
  • 2-Year Swap Spread 21.75 +1.25 basis points
  • TED Spread 48.5 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -58.25 +2.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.69 +.51%
  • 3-Month T-Bill Yield .46% -1.0 basis point
  • Yield Curve 127.0 -2.0 basis points
  • China Import Iron Ore Spot $78.62/Metric Tonne +1.07%
  • Citi US Economic Surprise Index 28.70 +4.0 points
  • Citi Eurozone Economic Surprise Index 58.90 -2.5 points
  • Citi Emerging Markets Economic Surprise Index 3.6 +2.1 points
  • 10-Year TIPS Spread 1.97% +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 +136 open in Japan 
  • China A50 Futures: Indicating +46 open in China
  • DAX Futures: Indicating +8 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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