Thursday, February 23, 2017

Stocks Reversing Slightly Higher into Final Hour on Economic Optimism, Less European/Emerging Markets/US High-Yield Debt Angst, Oil Gain, Energy/Drug Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 11.80 +.51%
  • Euro/Yen Carry Return Index 124.47 +.39%
  • Emerging Markets Currency Volatility(VXY) 9.73 -.21%
  • S&P 500 Implied Correlation 46.07 +1.99%
  • ISE Sentiment Index 105.0 +66.7%
  • Total Put/Call .81 -8.99%
  • NYSE Arms 1.51 +7.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.0 -.85%
  • America Energy Sector High-Yield CDS Index 359.0 -2.69%
  • European Financial Sector CDS Index 93.91 +.01%
  • Western Europe Sovereign Debt CDS Index 21.02 -7.11%
  • Asia Pacific Sovereign Debt CDS Index 25.09 -1.92%
  • Emerging Market CDS Index 213.81 -1.59%
  • iBoxx Offshore RMB China Corporate High Yield Index 134.83 +.10%
  • 2-Year Swap Spread 35.25 +.75 basis point
  • TED Spread 54.5 +2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -27.75 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.88 +.36%
  • 3-Month T-Bill Yield .51% -1.0 basis point
  • Yield Curve 119.0 unch.
  • China Import Iron Ore Spot $91.34/Metric Tonne -3.14%
  • Citi US Economic Surprise Index 45.70 -1.7 points
  • Citi Eurozone Economic Surprise Index 70.70 -1.2 points
  • Citi Emerging Markets Economic Surprise Index 46.40 -1.2 points
  • 10-Year TIPS Spread 2.04 -1.0 basis point
  • 62.7% chance of Fed rate hike at May 3 meeting, 75.4% chance at June 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -51 open in Japan 
  • China A50 Futures: Indicating +5 open in China
  • DAX Futures: Indicating +21 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my in my biotech/retail sector longs 
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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