Friday, February 10, 2017

Stocks Rising into Afternoon on Tax Reform Hopes, Economic Optimism, Oil Gain, Commodity/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Slightly Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.79 -.83%
  • Euro/Yen Carry Return Index 125.93 -.08%
  • Emerging Markets Currency Volatility(VXY) 10.19 +.79%
  • S&P 500 Implied Correlation 46.17 +1.1%
  • ISE Sentiment Index 82.0 +5.0%
  • Total Put/Call .93 unch.
  • NYSE Arms .97 +17.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.77 -1.14%
  • America Energy Sector High-Yield CDS Index 375.0 -1.28%
  • European Financial Sector CDS Index 94.25 +1.78%
  • Western Europe Sovereign Debt CDS Index 23.92 +.08%
  • Asia Pacific Sovereign Debt CDS Index 28.90 -1.48%
  • Emerging Market CDS Index 219.81 -2.09%
  • iBoxx Offshore RMB China Corporate High Yield Index 134.34 +.04%
  • 2-Year Swap Spread 31.25 +.25 basis point
  • TED Spread 50.0 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.25 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.29 +.13%
  • 3-Month T-Bill Yield .53% +1.0 basis point
  • Yield Curve 122.0 unch.
  • China Import Iron Ore Spot $86.62/Metric Tonne +3.32%
  • Citi US Economic Surprise Index 40.80 -1.6 points
  • Citi Eurozone Economic Surprise Index 51.80 +3.7 points
  • Citi Emerging Markets Economic Surprise Index 38.60 +1.9 points
  • 10-Year TIPS Spread 2.02 +2.0 basis points
  • 47.1% chance of Fed rate hike at May 3 meeting, 72.5% chance at June 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +26 open in Japan 
  • China A50 Futures: Indicating +82 open in China
  • DAX Futures: Indicating +10 open in Germany
Portfolio: 
  • Higher: On gains in my in my retail/tech/biotech/medical sector longs 
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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