Wednesday, October 18, 2017

Stocks Higher into Final Hour on Tax Reform Hopes, Earnings Optimism, Yen Weakness, Tech/Retail 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) 10.03 -2.72%
  • Euro/Yen Carry Return Index 138.92 +.93%
  • Emerging Markets Currency Volatility(VXY) 8.02 -1.72%
  • S&P 500 Implied Correlation 15.02 -9.35%
  • ISE Sentiment Index 109.0 -5.2%
  • Total Put/Call .91 +8.3%
  • NYSE Arms 1.07 +15.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.60 -.78%
  • America Energy Sector High-Yield CDS Index 388.0 +.15%
  • European Financial Sector CDS Index 59.45 +1.48%
  • Western Europe Sovereign Debt CDS Index 5.06 -1.17%
  • Asia Pacific Sovereign Debt CDS Index 16.17 -.49%
  • Emerging Market CDS Index 174.65 -.66%
  • iBoxx Offshore RMB China Corporate High Yield Index 144.44 +.02%
  • 2-Year Swap Spread 24.75 -.75 basis point
  • TED Spread 26.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -38.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.70 -.05%
  • 3-Month T-Bill Yield 1.09% +1.0 basis point
  • Yield Curve 78.0 +3.0 basis points
  • China Import Iron Ore Spot $62.72/Metric Tonne unch.
  • Citi US Economic Surprise Index .20 -6.1 points
  • Citi Eurozone Economic Surprise Index 53.90 -.1 point
  • Citi Emerging Markets Economic Surprise Index 18.20 +.3 basis point
  • 10-Year TIPS Spread 1.86 +3.0 basis points
  • 83.9% chance of Fed rate hike at Dec. 13 meeting, 84.5% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +112 open in Japan 
  • China A50 Futures: Indicating +19 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Higher: On gains in my retail/tech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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