Wednesday, December 07, 2016

Stocks Surging into Final Hour on Economic Optimism, Less European/Emerging Markets/US High-Yield Debt Angst, Lower Long-Term Rates, Tech/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Slightly Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 11.6 -1.3%
  • Euro/Yen Carry Return Index 127.96 +.22%
  • Emerging Markets Currency Volatility(VXY) 10.92 +.46%
  • S&P 500 Implied Correlation 49.88 +3.57%
  • ISE Sentiment Index 100.0 +28.21%
  • Total Put/Call .85 +3.66%
  • NYSE Arms 1.23 +26.96%
Credit Investor Angst:
  • North American Investment Grade CDS Index 68.12 -2.625%
  • America Energy Sector High-Yield CDS Index 481.0 -9.92%
  • European Financial Sector CDS Index 99.50 -1.85%
  • Western Europe Sovereign Debt CDS Index 23.0 -1.81%
  • Asia Pacific Sovereign Debt CDS Index 37.17 -6.12%
  • Emerging Market CDS Index 247.68 -4.21%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.97 +.02%
  • 2-Year Swap Spread 22.50 -.5 basis point
  • TED Spread 45.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -51.5 +4.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.31 +.49%
  • 3-Month T-Bill Yield .50% +1.0 basis point
  • Yield Curve 124.0 -4.0 basis points
  • China Import Iron Ore Spot $82.25/Metric Tonne +3.16%
  • Citi US Economic Surprise Index 30.10 unch.
  • Citi Eurozone Economic Surprise Index 64.60 -1.5 points
  • Citi Emerging Markets Economic Surprise Index 4.2 +.3 point
  • 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 +173 open in Japan 
  • China A50 Futures: Indicating +61 open in China
  • DAX Futures: Indicating +67 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

No comments: