Wednesday, February 08, 2017

Stocks Reversing Slightly Higher into Final Hour on Earnings Optimism, Oil Reversal, Short-Covering, Retail/Metals & Mining Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.27 -.18%
  • Euro/Yen Carry Return Index 125.05 -.25%
  • Emerging Markets Currency Volatility(VXY) 10.33 -.10%
  • S&P 500 Implied Correlation 46.19 +.48%
  • ISE Sentiment Index 57.0 unch.
  • Total Put/Call .94 -14.6%
  • NYSE Arms .94 -38.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.65 +1.23%
  • America Energy Sector High-Yield CDS Index 381.0 +1.23%
  • European Financial Sector CDS Index 94.57 +1.43%
  • Western Europe Sovereign Debt CDS Index 24.28 +2.95%
  • Asia Pacific Sovereign Debt CDS Index 29.68 +1.68%
  • Emerging Market CDS Index 230.20 +.96%
  • iBoxx Offshore RMB China Corporate High Yield Index 134.17 +.11%
  • 2-Year Swap Spread 30.5 -.75 basis point
  • TED Spread 50.5 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.75 +2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.08 +.07%
  • 3-Month T-Bill Yield .53% +1.0 basis point
  • Yield Curve 120.0 -2.0 basis points
  • China Import Iron Ore Spot $83.53/Metric Tonne +.29%
  • Citi US Economic Surprise Index 40.90 -1.0 point
  • Citi Eurozone Economic Surprise Index 51.0 -1.6 points
  • Citi Emerging Markets Economic Surprise Index 36.80 -.6 point
  • 10-Year TIPS Spread 1.97 -3.0 basis points
  • 39.1% chance of Fed rate hike at May 3 meeting, 64.3% chance at June 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -19 open in Japan 
  • China A50 Futures: Indicating +20 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my in my retail/tech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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