Monday, April 10, 2017

Stocks Slightly Higher into Final Hour on Oil Gain, Short-Covering, Technical Buying, Energy/Retail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.59 +5.5%
  • Euro/Yen Carry Return Index 122.77 -.06%
  • Emerging Markets Currency Volatility(VXY) 9.38 -.53%
  • S&P 500 Implied Correlation 44.72 -.82%
  • ISE Sentiment Index 84.0 +27.27%
  • Total Put/Call 1.10 +15.8%
  • NYSE Arms 1.11 -27.13%
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.42 -.13%
  • America Energy Sector High-Yield CDS Index 349.0 -.16%
  • European Financial Sector CDS Index 91.31 +2.68%
  • Western Europe Sovereign Debt CDS Index 12.84 +5.85%
  • Asia Pacific Sovereign Debt CDS Index 21.28 +.52%
  • Emerging Market CDS Index 210.87 +.27%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.45 -.15%
  • 2-Year Swap Spread 32.0 -1.5 basis points
  • TED Spread 34.5 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -29.5 -3.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.68 -.02%
  • 3-Month T-Bill Yield .81% unch.
  • Yield Curve 109.0 unch.
  • China Import Iron Ore Spot $74.71/Metric Tonne -.98%
  • Citi US Economic Surprise Index 35.60 -3.2 points
  • Citi Eurozone Economic Surprise Index 38.90 -2.2 points
  • Citi Emerging Markets Economic Surprise Index 24.70 -4.5 points
  • 10-Year TIPS Spread 1.93 -2.0 basis points
  • 63.2% chance of Fed rate hike at June 14 meeting, 65.1% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +18 open in Japan 
  • China A50 Futures: Indicating -23 open in China
  • DAX Futures: Indicating +13 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail sector longs and emerging markets shorts 
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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