Thursday, October 05, 2017

Stocks Surging into Final Hour on Tax Reform Hopes, Economic Optimism, Technical Buying, Financial/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.44 -1.97%
  • Euro/Yen Carry Return Index 137.75 -.38%
  • Emerging Markets Currency Volatility(VXY) 7.69 -1.66%
  • S&P 500 Implied Correlation 18.49 -1.49%
  • ISE Sentiment Index 111.0 +20.7%
  • Total Put/Call .81 -2.31%
  • NYSE Arms .93 -9.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.32 -2.02%
  • America Energy Sector High-Yield CDS Index 398.0 -.66%
  • European Financial Sector CDS Index 58.99 -2.5%
  • Western Europe Sovereign Debt CDS Index 5.44 +.28%
  • Asia Pacific Sovereign Debt CDS Index 18.0 -1.23%
  • Emerging Market CDS Index 176.79 -.52%
  • iBoxx Offshore RMB China Corporate High Yield Index 142.24 +.02%
  • 2-Year Swap Spread 27.25 unch.
  • TED Spread 28.0 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -32.0 +4.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.57 -.25%
  • 3-Month T-Bill Yield 1.06% unch.
  • Yield Curve 86.0 unch.
  • China Import Iron Ore Spot $61.48/Metric Tonne -.92%
  • Citi US Economic Surprise Index 13.20 +3.5 points
  • Citi Eurozone Economic Surprise Index 41.50 -.2 point
  • Citi Emerging Markets Economic Surprise Index 17.10 +.6 basis point
  • 10-Year TIPS Spread 1.87 +1.0 basis point
  • 78.6% chance of Fed rate hike at Dec. 13 meeting, 79.0% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +103 open in Japan 
  • China A50 Futures: Indicating +453 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

No comments: