Friday, April 07, 2017

Stocks Reversing Slightly Higher into Final Hour on Higher Long-Term Rates, Oil Gain, Yen Weakness, Biotech/Defense Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.69 +2.42%
  • Euro/Yen Carry Return Index 122.96 -.16%
  • Emerging Markets Currency Volatility(VXY) 9.39 +1.08%
  • S&P 500 Implied Correlation 43.45 -5.38%
  • ISE Sentiment Index 82.0 -24.1%
  • Total Put/Call .92 +1.10%
  • NYSE Arms .91 -25.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.93 -1.2%
  • America Energy Sector High-Yield CDS Index 351.0 -.02%
  • European Financial Sector CDS Index 88.92 -.1%
  • Western Europe Sovereign Debt CDS Index 12.13 -5.09%
  • Asia Pacific Sovereign Debt CDS Index 21.24 +1.05%
  • Emerging Market CDS Index 210.63 -.22%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.66 unch.
  • 2-Year Swap Spread 33.5 -.5 basis point
  • TED Spread 34.25 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.75 -3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.70 -.17%
  • 3-Month T-Bill Yield .81% +1.0 basis point
  • Yield Curve 109.0 -1.0 basis point
  • China Import Iron Ore Spot $75.45/Metric Tonne -6.76%
  • Citi US Economic Surprise Index 38.80 -8.5 points
  • Citi Eurozone Economic Surprise Index 41.10 +5.1 points
  • Citi Emerging Markets Economic Surprise Index 29.20 -.4 point
  • 10-Year TIPS Spread 1.95 -1.0 basis point
  • 63.2% chance of Fed rate hike at June 14 meeting, 67.3% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +201 open in Japan 
  • China A50 Futures: Indicating +19 open in China
  • DAX Futures: Indicating +30 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/medical sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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