Tuesday, August 22, 2017

Stocks Surging into Final Hour on Tax Reform Hopes, Diminishing Geopolitical Fears, Short-Covering, Tech/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.54 -12.43%
  • Euro/Yen Carry Return Index 134.21 -.06%
  • Emerging Markets Currency Volatility(VXY) 7.30 -.27%
  • S&P 500 Implied Correlation 34.01 -14.0%
  • ISE Sentiment Index 122.0 +12.96%
  • Total Put/Call 1.0 +2.04%
  • NYSE Arms .86 -22.49%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.80 -2.26%
  • America Energy Sector High-Yield CDS Index 472.0 +2.12%
  • European Financial Sector CDS Index 55.42 -.60%
  • Western Europe Sovereign Debt CDS Index 5.78 +3.03%
  • Asia Pacific Sovereign Debt CDS Index 21.19 -1.12%
  • Emerging Market CDS Index 189.50 -1.15%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.05 -.17%
  • 2-Year Swap Spread 25.50 -.5 basis point
  • TED Spread 31.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.0 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.88 -.04%
  • 3-Month T-Bill Yield 1.0% +2.0 basis points
  • Yield Curve 89.0 +1.0 basis point
  • China Import Iron Ore Spot $79.65/Metric Tonne -.35%
  • Citi US Economic Surprise Index -27.40 +.2 point
  • Citi Eurozone Economic Surprise Index 6.60 -2.0 points
  • Citi Emerging Markets Economic Surprise Index 19.60 +.1 basis point
  • 10-Year TIPS Spread 1.77 +1.0 basis point
  • 15.8% chance of Fed rate hike at Nov. 1 meeting, 42.7% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +75 open in Japan 
  • China A50 Futures: Indicating +38 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio: 
  • Higher: On gains in my tech/retail/biotech/medical sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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