Friday, September 29, 2017

Stocks Modestly Higher into Final Hour on Tax Reform Hopes, Economic Optimism, Technical Buying, Homebuilding/Tech 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) 9.43 -1.26%
  • Euro/Yen Carry Return Index 138.55 +.36%
  • Emerging Markets Currency Volatility(VXY) 7.88 -2.11%
  • S&P 500 Implied Correlation 21.77 -3.03%
  • ISE Sentiment Index 119.0 +6.25%
  • Total Put/Call .95 +31.94%
  • NYSE Arms .98 -8.25%
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.84 -1.74%
  • America Energy Sector High-Yield CDS Index 407.0 +.33%
  • European Financial Sector CDS Index 59.52 -1.11%
  • Western Europe Sovereign Debt CDS Index 5.00 -3.0%
  • Asia Pacific Sovereign Debt CDS Index 18.99 +7.16%
  • Emerging Market CDS Index 185.08 -.66%
  • iBoxx Offshore RMB China Corporate High Yield Index 142.05 +.04%
  • 2-Year Swap Spread 25.75 +.25 basis point
  • TED Spread 29.0 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -40.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.73 +.16%
  • 3-Month T-Bill Yield 1.04% -1.0 basis point
  • Yield Curve 85.0 -1.0 basis point
  • China Import Iron Ore Spot $62.05/Metric Tonne -1.34%
  • Citi US Economic Surprise Index -7.90 +.6 point
  • Citi Eurozone Economic Surprise Index 50.20 -3.9 points
  • Citi Emerging Markets Economic Surprise Index 15.0 +1.7 basis points
  • 10-Year TIPS Spread 1.86 -2.0 basis points
  • 70.5% chance of Fed rate hike at Dec. 13 meeting, 71.1% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +44 open in Japan 
  • China A50 Futures: Indicating +57 open in China
  • DAX Futures: Indicating unch. open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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