Monday, November 20, 2017

Stocks Higher into Final Hour on Economic Optimism, Buyout Speculation, Yen Weakness, Financial/Tech 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) 10.66 -6.74%
  • Euro/Yen Carry Return Index 137.77 -.04%
  • Emerging Markets Currency Volatility(VXY) 7.96 +.51%
  • S&P 500 Implied Correlation 16.28 unch.
  • ISE Sentiment Index 111.0 +13.3%
  • Total Put/Call .87 +10.13%
  • NYSE Arms 1.16 +11.43%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.77 -.79%
  • America Energy Sector High-Yield CDS Index 378.0 -.5%
  • European Financial Sector CDS Index 50.41 -1.24%
  • Western Europe Sovereign Debt CDS Index 3.96 +1.02%
  • Asia Pacific Sovereign Debt CDS Index 15.95 +.5%
  • Emerging Market CDS Index 186.86 unch.
  • iBoxx Offshore RMB China Corporate High Yield Index 145.42 +.06%
  • 2-Year Swap Spread 16.75 +.25 basis point
  • TED Spread 17.75 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -49.50 +1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.67 -.32%
  • 3-Month T-Bill Yield 1.26% -1.0 basis point
  • Yield Curve 61.75 -.75 basis point
  • China Import Iron Ore Spot $63.47/Metric Tonne +1.37%
  • Citi US Economic Surprise Index 58.30 +2.3 points
  • Citi Eurozone Economic Surprise Index 55.0 -3.9 basis points
  • Citi Emerging Markets Economic Surprise Index 14.20 -.3 point
  • 10-Year TIPS Spread 1.88 unch.
  • 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +239 open in Japan 
  • China A50 Futures: Indicating -4 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Higher: On gains in my tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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