Wednesday, March 01, 2017

Stocks Surging into Final Hour on Economic Optimism, Tax Reform Hopes, Yen Weakness, Construction/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Heavy
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 11.96 -7.43%
  • Euro/Yen Carry Return Index 125.17 +.51%
  • Emerging Markets Currency Volatility(VXY) 9.76 +1.67%
  • S&P 500 Implied Correlation 45.29 -3.45%
  • ISE Sentiment Index 114.0 unch.
  • Total Put/Call .87 -26.27%
  • NYSE Arms .56 -58.53%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.33 -3.32%
  • America Energy Sector High-Yield CDS Index 329.0 -2.23%
  • European Financial Sector CDS Index 88.40 -3.76%
  • Western Europe Sovereign Debt CDS Index 22.70 +8.74%
  • Asia Pacific Sovereign Debt CDS Index 26.50 -.38%
  • Emerging Market CDS Index 208.53 -3.81%
  • iBoxx Offshore RMB China Corporate High Yield Index 135.22 +.10%
  • 2-Year Swap Spread 34.0 -1.25 basis points
  • TED Spread 43.5 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -27.25 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.36 unch.
  • 3-Month T-Bill Yield .62% +10.0 basis points
  • Yield Curve 118.0 +2.0 basis points
  • China Import Iron Ore Spot $91.26/Metric Tonne -.01%
  • Citi US Economic Surprise Index 32.60 -2.1 points
  • Citi Eurozone Economic Surprise Index 69.0 -2.1 points
  • Citi Emerging Markets Economic Surprise Index 54.80 +8.2 points
  • 10-Year TIPS Spread 2.03 +1.0 basis point
  • 83.1% chance of Fed rate hike at May 3 meeting, 90.2% chance at June 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +237 open in Japan 
  • China A50 Futures: Indicating +62 open in China
  • DAX Futures: Indicating +30 open in Germany
Portfolio: 
  • Higher: On gains in my in my medical/tech/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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