Friday, December 23, 2016

Stocks Slightly Higher into Final Hour on Seasonal Strength, Oil Gain, Short-Covering, Biotech/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.63 +1.75%
  • Euro/Yen Carry Return Index 127.93 -.17%
  • Emerging Markets Currency Volatility(VXY) 11.33 +.89%
  • S&P 500 Implied Correlation 49.33 +1.46%
  • ISE Sentiment Index 106.0 +120.83%
  • Total Put/Call 831 -5.68%
  • NYSE Arms .91 -29.72%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.80 -.07%
  • America Energy Sector High-Yield CDS Index 454.0 +.1%
  • European Financial Sector CDS Index 92.32 -2.02%
  • Western Europe Sovereign Debt CDS Index 20.39 -.61%
  • Asia Pacific Sovereign Debt CDS Index 37.23 -.05%
  • Emerging Market CDS Index 245.23 -1.39%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.13 +.10%
  • 2-Year Swap Spread 30.0 -.5 basis points
  • TED Spread 49.0 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -62.25 -3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.61 +.15%
  • 3-Month T-Bill Yield .51% +1.0 basis point
  • Yield Curve 134.0 -2.0 basis points
  • China Import Iron Ore Spot $78.14/Metric Tonne +2.61%
  • Citi US Economic Surprise Index 25.60 +4.6 points
  • Citi Eurozone Economic Surprise Index 54.50 -1.8 basis points
  • Citi Emerging Markets Economic Surprise Index 9.90 +2.0 points
  • 10-Year TIPS Spread 2.0% +3.0 basis points
  • 31.3% chance of Fed rate hike at March 15 meeting, 43.5% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +23 open in Japan 
  • China A50 Futures: Indicating -61 open in China
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/medical sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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