Friday, October 27, 2017

Stocks Surging into Final Hour on Economic Optimism, Earnings Outlooks, Oil Gain, Tech/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.93 -12.1%
  • Euro/Yen Carry Return Index 137.63 -.64%
  • Emerging Markets Currency Volatility(VXY) 8.32 +1.71%
  • S&P 500 Implied Correlation 16.47 -7.1%
  • ISE Sentiment Index 147.0 +68.97%
  • Total Put/Call .84 -3.45%
  • NYSE Arms 1.12 +15.65%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.03 -1.71%
  • America Energy Sector High-Yield CDS Index 397.0 +1.27%
  • European Financial Sector CDS Index 53.96 -3.75%
  • Western Europe Sovereign Debt CDS Index 4.72 +.85%
  • Asia Pacific Sovereign Debt CDS Index 15.57 -2.17%
  • Emerging Market CDS Index 174.02 -3.34%
  • iBoxx Offshore RMB China Corporate High Yield Index 144.76 +.11%
  • 2-Year Swap Spread 22.75 +.5 basis point
  • TED Spread 28.5 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -42.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.51 +.04%
  • 3-Month T-Bill Yield 1.09% -1.0 basis point
  • Yield Curve 83.0-1.0 basis point
  • China Import Iron Ore Spot $60.08/Metric Tonne -2.26%
  • Citi US Economic Surprise Index 38.20 +7.6 points
  • Citi Eurozone Economic Surprise Index 59.50 -.6 basis point
  • Citi Emerging Markets Economic Surprise Index 21.30 unch.
  • 10-Year TIPS Spread 1.90 unch.
  • 85.9% chance of Fed rate hike at Dec. 13 meeting, 86.5% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +77 open in Japan 
  • China A50 Futures: Indicating +78 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: Covered my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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