Friday, June 30, 2017

Stocks Rising into Final Hour on Better Economic Data, Earnings Optimism, Oil Gain, Homebuilding/Transport 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) 10.99 -3.93%
  • Euro/Yen Carry Return Index 133.95 +.04%
  • Emerging Markets Currency Volatility(VXY) 7.78 +1.30%
  • S&P 500 Implied Correlation 34.83 -.88%
  • ISE Sentiment Index 106.0 +17.8%
  • Total Put/Call 1.09 +10.10%
  • NYSE Arms 1.15 +85.43%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.89 -.29%
  • America Energy Sector High-Yield CDS Index 464.0 +.08%
  • European Financial Sector CDS Index 52.79 +.48%
  • Western Europe Sovereign Debt CDS Index 6.78 +11.33%
  • Asia Pacific Sovereign Debt CDS Index 21.48 +8.57%
  • Emerging Market CDS Index 201.93 -.19%
  • iBoxx Offshore RMB China Corporate High Yield Index 139.62 +.06%
  • 2-Year Swap Spread 23.0 +1.25 basis points
  • TED Spread 28.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -27.25 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.98 +.06%
  • 3-Month T-Bill Yield 1.01% -1.0 basis point
  • Yield Curve 92.0 +2.0 basis points
  • China Import Iron Ore Spot $64.95/Metric Tonne +.37%
  • Citi US Economic Surprise Index -72.60 +3.8 points
  • Citi Eurozone Economic Surprise Index 30.30 +6.3 points
  • Citi Emerging Markets Economic Surprise Index 10.10 +2.4 points
  • 10-Year TIPS Spread 1.74 unch.
  • 29.6% chance of Fed rate hike at Sept. 20 meeting, 31.1% chance at Nov. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +72 open in Japan 
  • China A50 Futures: Indicating -103 open in China
  • DAX Futures: Indicating +50 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical/retail sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

No comments: