Tuesday, October 03, 2017

Stocks Higher into Final Hour on Tax Reform Hopes, Economic Optimism, Technical Buying, Homebuilding/Airline Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.62 +1.8%
  • Euro/Yen Carry Return Index 138.36 +.32%
  • Emerging Markets Currency Volatility(VXY) 7.81 -.38%
  • S&P 500 Implied Correlation 19.87 +1.6%
  • ISE Sentiment Index 75.0 -61.1%
  • Total Put/Call .74 -20.43%
  • NYSE Arms .68 -23.61%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.18 -1.17%
  • America Energy Sector High-Yield CDS Index 405.0 -.33%
  • European Financial Sector CDS Index 58.86 -.63%
  • Western Europe Sovereign Debt CDS Index 5.32 -.47%
  • Asia Pacific Sovereign Debt CDS Index 17.03 -9.73%
  • Emerging Market CDS Index 178.76 -1.64%
  • iBoxx Offshore RMB China Corporate High Yield Index 142.16 +.03%
  • 2-Year Swap Spread 26.5 +1.25 basis points
  • TED Spread 29.75 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -36.5 +4.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.53 +.05%
  • 3-Month T-Bill Yield 1.05% +4.0 basis points
  • Yield Curve 86.0 +1.0 basis point
  • China Import Iron Ore Spot $62.05/Metric Tonne unch.
  • Citi US Economic Surprise Index 1.70 +.2 point
  • Citi Eurozone Economic Surprise Index 45.30 -.3 point
  • Citi Emerging Markets Economic Surprise Index 17.10 -1.8 basis points
  • 10-Year TIPS Spread 1.85 +1.0 basis point
  • 71.6% chance of Fed rate hike at Dec. 13 meeting, 72.7% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +66 open in Japan 
  • China A50 Futures: Indicating +393 open in China
  • DAX Futures: Indicating -11 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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