Thursday, December 08, 2016

Stocks Slightly Higher into Final Hour on Economic Optimism, Yen Weakness, Oil Gain, Financial/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Slightly Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.64 +3.44%
  • Euro/Yen Carry Return Index 126.44 -1.03%
  • Emerging Markets Currency Volatility(VXY) 11.01 +.73%
  • S&P 500 Implied Correlation 51.01 +1.1%
  • ISE Sentiment Index 123.0 +86.4%
  • Total Put/Call .70 -16.7%
  • NYSE Arms 1.03 +15.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 68.39 +.01%
  • America Energy Sector High-Yield CDS Index 466.0 -3.02%
  • European Financial Sector CDS Index 96.78 -2.73%
  • Western Europe Sovereign Debt CDS Index 23.17 +.72%
  • Asia Pacific Sovereign Debt CDS Index 36.11 -3.03%
  • Emerging Market CDS Index 248.89 +.36%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.98 +.01%
  • 2-Year Swap Spread 23.0 +.5 basis point
  • TED Spread 44.75 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -50.0 +1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.04 -.41%
  • 3-Month T-Bill Yield .50% unch.
  • Yield Curve 129.0 +5.0 basis points
  • China Import Iron Ore Spot $81.78/Metric Tonne -.57%
  • Citi US Economic Surprise Index 29.50 -.6 point
  • Citi Eurozone Economic Surprise Index 64.60 unch.
  • Citi Emerging Markets Economic Surprise Index 7.3 +3.1 points
  • 10-Year TIPS Spread 2.0% +3.0 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 +125 open in Japan 
  • China A50 Futures: Indicating -1 open in China
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Higher: On gains in my retail/medical/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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