Thursday, March 09, 2017

Stocks Slightly Higher into Final Hour on Economic Optimism, Less European Debt Angst, Technical Buying, Financial/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.25 +3.29%
  • Euro/Yen Carry Return Index 127.07 +.92%
  • Emerging Markets Currency Volatility(VXY) 9.65 +2.55%
  • S&P 500 Implied Correlation 46.17 +1.36%
  • ISE Sentiment Index 54.0 -43.16%
  • Total Put/Call 1.17 +20.6%
  • NYSE Arms .73 +10.56%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.30 +1.64%
  • America Energy Sector High-Yield CDS Index 387.0 +5.83%
  • European Financial Sector CDS Index 87.37 -1.69%
  • Western Europe Sovereign Debt CDS Index 16.20 -9.22%
  • Asia Pacific Sovereign Debt CDS Index 28.48 +3.36%
  • Emerging Market CDS Index 222.14 +2.58%
  • iBoxx Offshore RMB China Corporate High Yield Index 135.74 +.05%
  • 2-Year Swap Spread 32.75 +1.5 basis points
  • TED Spread 38.75 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.50 -.33%
  • 3-Month T-Bill Yield .73% unch.
  • Yield Curve 123.0 +3.0 basis points
  • China Import Iron Ore Spot $86.79/Metric Tonne -.46%
  • Citi US Economic Surprise Index 44.80 -1.0 point
  • Citi Eurozone Economic Surprise Index 59.10 +.2 point
  • Citi Emerging Markets Economic Surprise Index 47.60 -.4 point
  • 10-Year TIPS Spread 2.01 +1.0 basis point
  • 100.0% chance of Fed rate hike at May 3 meeting, 100.0% chance at June 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +57 open in Japan 
  • China A50 Futures: Indicating -23 open in China
  • DAX Futures: Indicating -16 open in Germany
Portfolio: 
  • Higher: On gains in my in my biotech/medical sector longs and emerging markets shorts 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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