Friday, September 22, 2017

Stocks Slightly Higher into Final Hour on Economic Optimism, Technical Buying, Short-Covering, Retail/Defense Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 9.95 +2.9%
  • Euro/Yen Carry Return Index 13.55 -.35%
  • Emerging Markets Currency Volatility(VXY) 7.89 +.9%
  • S&P 500 Implied Correlation 23.58 +3.19%
  • ISE Sentiment Index 73.0 +19.67%
  • Total Put/Call .90 +8.43%
  • NYSE Arms 1.22 +14.27%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.22 +1.11%
  • America Energy Sector High-Yield CDS Index 431.0 +.52%
  • European Financial Sector CDS Index 59.8 +5.14%
  • Western Europe Sovereign Debt CDS Index 5.06 +13.84%
  • Asia Pacific Sovereign Debt CDS Index 16.04 +6.19%
  • Emerging Market CDS Index 188.60 -.36%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.84 -.01%
  • 2-Year Swap Spread 26.75 -.5 basis point
  • TED Spread 30.5 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.0 -4.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.62 +.26%
  • 3-Month T-Bill Yield 1.02% -1.0 basis point
  • Yield Curve 82.0 -2.0 basis points
  • China Import Iron Ore Spot $63.56/Metric Tonne -3.83%
  • Citi US Economic Surprise Index -8.80 +.5 point
  • Citi Eurozone Economic Surprise Index 49.40 +28.2 points
  • Citi Emerging Markets Economic Surprise Index 16.50 +.1 basis point
  • 10-Year TIPS Spread 1.85 +1.0 basis point
  • 68.8% chance of Fed rate hike at Dec. 13 meeting, 69.4% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -66 open in Japan 
  • China A50 Futures: Indicating -40 open in China
  • DAX Futures: Indicating +6 open in Germany
Portfolio: 
  • Higher: On gains in my medical/tech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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