Tuesday, March 28, 2017

Stocks Surging into Final Hour on Economic Optimism, Oil Gain, Yen Weakness, Tranport/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.52 -7.84%
  • Euro/Yen Carry Return Index 125.42 -.09%
  • Emerging Markets Currency Volatility(VXY) 9.20 unch.
  • S&P 500 Implied Correlation 44.98 -2.7%
  • ISE Sentiment Index 83.0 unch.
  • Total Put/Call 1.12 -7.44%
  • NYSE Arms .80 -23.97%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.24 -.77%
  • America Energy Sector High-Yield CDS Index 387.0 -3.41%
  • European Financial Sector CDS Index 86.95 -1.47%
  • Western Europe Sovereign Debt CDS Index 11.19 -4.56%
  • Asia Pacific Sovereign Debt CDS Index 21.46 +.56%
  • Emerging Market CDS Index 212.93 -.32%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.36 +.02%
  • 2-Year Swap Spread 33.25 -1.75 basis points
  • TED Spread 38.0 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.0 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.19 -.38%
  • 3-Month T-Bill Yield .77% unch.
  • Yield Curve 111.0 -1.0 basis point
  • China Import Iron Ore Spot $82.01/Metric Tonne +.54%
  • Citi US Economic Surprise Index 53.1 +.6 point
  • Citi Eurozone Economic Surprise Index 66.50 -1.2 points
  • Citi Emerging Markets Economic Surprise Index 41.80 -1.0 point
  • 10-Year TIPS Spread 1.97 unch.
  • 53.5% chance of Fed rate hike at June 14 meeting, 58.3% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +43 open in Japan 
  • China A50 Futures: Indicating +20 open in China
  • DAX Futures: Indicating +50 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/retail sector longs  
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 100% Net Long

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