Friday, December 16, 2016

Stocks Slightly Lower into Final Hour on US Economic Data, Yen Strength, Profit-Taking, Tech/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Heavy
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.56 -1.8%
  • Euro/Yen Carry Return Index 128.55 +.02%
  • Emerging Markets Currency Volatility(VXY) 11.43 -.35%
  • S&P 500 Implied Correlation 49.05 -.16%
  • ISE Sentiment Index 77.0 -35.29%
  • Total Put/Call .87 +3.57%
  • NYSE Arms 1.44+65.45%
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.02 +.08%
  • America Energy Sector High-Yield CDS Index 451.0 +.155%
  • European Financial Sector CDS Index 93.71 -2.25%
  • Western Europe Sovereign Debt CDS Index 20.47 -.78%
  • Asia Pacific Sovereign Debt CDS Index 37.15 -.56%
  • Emerging Market CDS Index 248.62 -.8%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.99 -.03%
  • 2-Year Swap Spread 25.75 +.75 basis point
  • TED Spread 49.5 +2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -54.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.34 -.23%
  • 3-Month T-Bill Yield .50% unch.
  • Yield Curve 134.0 +1.0 basis point
  • China Import Iron Ore Spot $81.49/Metric Tonne -.21%
  • Citi US Economic Surprise Index 22.9 -14.1 points
  • Citi Eurozone Economic Surprise Index 63.30 -1.1 basis points
  • Citi Emerging Markets Economic Surprise Index 5.60 +2.1 points
  • 10-Year TIPS Spread 1.89% -3.0 basis points
  • 33.1% chance of Fed rate hike at March 15 meeting, 46.4% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -51 open in Japan 
  • China A50 Futures: Indicating -20 open in China
  • DAX Futures: Indicating -25 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/retail sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

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