Monday, August 07, 2017

Stocks Modestly Higher into Final Hour on Earnings Optimism, Diminishing Rate-Hike Fears, Short-Covering, Tech/Retail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.81 -2.19%
  • Euro/Yen Carry Return Index 136.18 +.18%
  • Emerging Markets Currency Volatility(VXY) 7.42 -.54%
  • S&P 500 Implied Correlation 29.74 -1.95%
  • ISE Sentiment Index n/a
  • Total Put/Call .91 -9.9%
  • NYSE Arms .92 +20.36%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.95 +.53%
  • America Energy Sector High-Yield CDS Index 432.0 -8.13%
  • European Financial Sector CDS Index 51.18 +1.32%
  • Western Europe Sovereign Debt CDS Index 5.49 -.27%
  • Asia Pacific Sovereign Debt CDS Index 19.37 +3.2%
  • Emerging Market CDS Index 182.41 -2.24%
  • iBoxx Offshore RMB China Corporate High Yield Index 140.69 +.11%
  • 2-Year Swap Spread 25.0 unch.
  • TED Spread 24.25 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.0 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.82 +.07%
  • 3-Month T-Bill Yield 1.05% -2.0 basis points
  • Yield Curve 91.0 unch.
  • China Import Iron Ore Spot $76.17/Metric Tonne +2.77%
  • Citi US Economic Surprise Index -39.10 +1.7 points
  • Citi Eurozone Economic Surprise Index 13.30 -5.0 basis points
  • Citi Emerging Markets Economic Surprise Index 16.80 -.4 basis point
  • 10-Year TIPS Spread 1.81 +1.0 basis point
  • 19.5% chance of Fed rate hike at Nov. 1 meeting, 48.4% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -9 open in Japan 
  • China A50 Futures: Indicating +16 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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