Wednesday, March 22, 2017

Stocks Slightly Higher into Final Hour on Less US High-Yield Debt Angst, Oil Rebound, Technical Buying, Tech/Transport 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) 12.755 +2.25%
  • Euro/Yen Carry Return Index 125.11 -.81%
  • Emerging Markets Currency Volatility(VXY) 9.19 +2.11%
  • S&P 500 Implied Correlation 47.76 -2.25%
  • ISE Sentiment Index 90.0 +4.65%
  • Total Put/Call .97 -3.9%
  • NYSE Arms 1.03 -33.98%
Credit Investor Angst:
  • North American Investment Grade CDS Index 68.89 -.47%
  • America Energy Sector High-Yield CDS Index 410.0 +.69%
  • European Financial Sector CDS Index 91.81 +1.29%
  • Western Europe Sovereign Debt CDS Index 12.42 -5.12%
  • Asia Pacific Sovereign Debt CDS Index 20.88 +1.09%
  • Emerging Market CDS Index 218.85 +.35%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.03 -.01%
  • 2-Year Swap Spread 35.75 +.25 basis point
  • TED Spread 39.0 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -27.25 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.23 -.01%
  • 3-Month T-Bill Yield .76% +1.0 basis point
  • Yield Curve 115.0 -1.0 basis point
  • China Import Iron Ore Spot $84.99/Metric Tonne -2.97%
  • Citi US Economic Surprise Index 54.40 -.8 point
  • Citi Eurozone Economic Surprise Index 43.30 -2.0 points
  • Citi Emerging Markets Economic Surprise Index 47.0 -1.4 points
  • 10-Year TIPS Spread 1.98 -2.0 basis points
  • 50.2% chance of Fed rate hike at June 14 meeting, 57.2% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -106 open in Japan 
  • China A50 Futures: Indicating +40 open in China
  • DAX Futures: Indicating +47 open in Germany
Portfolio: 
  • Lower: On losses in my retail/tech/biotech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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