Friday, March 10, 2017

Stocks Modestly Higher into Afternoon on Economic Optimism, Less Emerging Markets Debt Angst, Technical Buying, Homebuilding/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.93 -3.01%
  • Euro/Yen Carry Return Index 128.13 +.91%
  • Emerging Markets Currency Volatility(VXY) 9.42 -1.67%
  • S&P 500 Implied Correlation 46.17 +1.36%
  • ISE Sentiment Index 109.0 +78.7%
  • Total Put/Call .95 -15.18%
  • NYSE Arms 1.04 +68.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.33 +.71%
  • America Energy Sector High-Yield CDS Index 383.0 -.33%
  • European Financial Sector CDS Index 86.23 -.99%
  • Western Europe Sovereign Debt CDS Index 17.44 +7.62%
  • Asia Pacific Sovereign Debt CDS Index 28.0 -1.7%
  • Emerging Market CDS Index 217.27 -1.27%
  • iBoxx Offshore RMB China Corporate High Yield Index 135.65 -.07%
  • 2-Year Swap Spread 33.5 +.75 basis point
  • TED Spread 37.75 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.75 +3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.94 +.62%
  • 3-Month T-Bill Yield .74% +1.0 basis point
  • Yield Curve 122.0 -1.0 basis point
  • China Import Iron Ore Spot $86.72/Metric Tonne -.08%
  • Citi US Economic Surprise Index 48.0 +3.2 points
  • Citi Eurozone Economic Surprise Index 57.90 -1.2 points
  • Citi Emerging Markets Economic Surprise Index 51.50 +3.9 points
  • 10-Year TIPS Spread 2.01 unch.
  • 100.0% chance of Fed rate hike at May 3 meeting, 100.0% chance at June 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -99 open in Japan 
  • China A50 Futures: Indicating -16 open in China
  • DAX Futures: Indicating -15 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my in my tech/retail sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: