Friday, August 25, 2017

Stocks Higher into Final Hour on Tax Reform Hopes, Diminished Rate-Hike Fears, Oil Gain, Transport/Retail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.35 -7.2%
  • Euro/Yen Carry Return Index 135.34 +.38%
  • Emerging Markets Currency Volatility(VXY) 7.09 -.56%
  • S&P 500 Implied Correlation 35.51 -3.7%
  • ISE Sentiment Index 103.0 +17.1%
  • Total Put/Call .92 -14.8%
  • NYSE Arms 1.09 +3.27%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.68 -1.62%
  • America Energy Sector High-Yield CDS Index 478.0 -.09%
  • European Financial Sector CDS Index 55.26 -1.29%
  • Western Europe Sovereign Debt CDS Index 5.95 +2.50%
  • Asia Pacific Sovereign Debt CDS Index 19.64 -3.18%
  • Emerging Market CDS Index 184.82 -1.23%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.07 +.02%
  • 2-Year Swap Spread 23.25 -.75 basis point
  • TED Spread 30.25 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.42 +.50%
  • 3-Month T-Bill Yield 1.02% +1.0 basis point
  • Yield Curve 84.0 -1.0 basis point
  • China Import Iron Ore Spot $78.38/Metric Tonne +1.58%
  • Citi US Economic Surprise Index -32.30 +3.9 points
  • Citi Eurozone Economic Surprise Index 19.20 +.2 point
  • Citi Emerging Markets Economic Surprise Index 18.10 +1.1 basis points
  • 10-Year TIPS Spread 1.76 unch.
  • 17.6% chance of Fed rate hike at Nov. 1 meeting, 40.5% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +28 open in Japan 
  • China A50 Futures: Indicating +52 open in China
  • DAX Futures: Indicating +23 open in Germany
Portfolio: 
  • Higher: On gains in my medical/retail/tech sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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