Thursday, March 30, 2017

Stocks Rising into Final Hour on Economic Optimism, Oil Gain, Yen Weakness, Financial/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 11.40 -.18%
  • Euro/Yen Carry Return Index 124.55 -.20%
  • Emerging Markets Currency Volatility(VXY) 9.01 -.77%
  • S&P 500 Implied Correlation 43.05 -3.76%
  • ISE Sentiment Index 80.0 +1.0%
  • Total Put/Call .87 +6.1%
  • NYSE Arms 1.10 +25.87%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.03 -.88%
  • America Energy Sector High-Yield CDS Index 368.0 -1.64%
  • European Financial Sector CDS Index 88.14 +.71%
  • Western Europe Sovereign Debt CDS Index 12.36 +8.9%
  • Asia Pacific Sovereign Debt CDS Index 21.10 -.75%
  • Emerging Market CDS Index 209.09 -1.32%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.51 +.10%
  • 2-Year Swap Spread 35.25 +1.75 basis points
  • TED Spread 38.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.25 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.21 -.14%
  • 3-Month T-Bill Yield .77% unch.
  • Yield Curve 114.0 +3.0 basis points
  • China Import Iron Ore Spot $81.78/Metric Tonne -.57%
  • Citi US Economic Surprise Index 51.6 -.9 point
  • Citi Eurozone Economic Surprise Index 63.60 -4.6 points
  • Citi Emerging Markets Economic Surprise Index 36.50 -4.3 points
  • 10-Year TIPS Spread 1.98 +1.0 basis point
  • 53.5% chance of Fed rate hike at June 14 meeting, 59.2% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +171 open in Japan 
  • China A50 Futures: Indicating +18 open in China
  • DAX Futures: Indicating +18 open in Germany
Portfolio: 
  • Higher: On gains in my tech sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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