Wednesday, May 24, 2017

Stocks Slightly Higher into Afternoon on Less European/Emerging Markets Debt Angst, Yen Weakness, Buyout Speculation, HMO/Restaurant Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.50 -2.05%
  • Euro/Yen Carry Return Index 130.74 +.22%
  • Emerging Markets Currency Volatility(VXY) 8.14 -1.45%
  • S&P 500 Implied Correlation 40.02 +.68%
  • ISE Sentiment Index 62.0 -44.6%
  • Total Put/Call .88 -2.22%
  • NYSE Arms 1.33 +30.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.39 -.41%
  • America Energy Sector High-Yield CDS Index 360.0 +1.64%
  • European Financial Sector CDS Index 67.39 +.51%
  • Western Europe Sovereign Debt CDS Index 7.99 -5.67%
  • Asia Pacific Sovereign Debt CDS Index 19.44 -2.34%
  • Emerging Market CDS Index 192.62 -.54%
  • iBoxx Offshore RMB China Corporate High Yield Index 138.50 +.02%
  • 2-Year Swap Spread 22.5 -1.25 basis points
  • TED Spread 27.25 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -33.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.94 +.12%
  • 3-Month T-Bill Yield .93% +3.0 basis points
  • Yield Curve 96.50 -1.5 basis points
  • China Import Iron Ore Spot $60.52/Metric Tonne -2.39%
  • Citi US Economic Surprise Index -38.80 +.1 point
  • Citi Eurozone Economic Surprise Index 60.90 +.5 point
  • Citi Emerging Markets Economic Surprise Index 21.80 -1.2 points
  • 10-Year TIPS Spread 1.84 -2.0 basis points
  • 93.4% chance of Fed rate hike at July 26 meeting, 95.6% chance at Sept. 20 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +3 open in Japan 
  • China A50 Futures: Indicating -10 open in China
  • DAX Futures: Indicating -10 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/medical/tech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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