Wednesday, December 06, 2017

Stocks Reversing Slightly Higher into Final Hour on Bargain-Hunting, Seasonal Strength, Technical Buying, Tech/Defense Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.07 -2.29%
  • Euro/Yen Carry Return Index 137.96 -.6%
  • Emerging Markets Currency Volatility(VXY) 8.03 +.5%
  • S&P 500 Implied Correlation 37.49 -.13%
  • ISE Sentiment Index 68.0 -38.7%
  • Total Put/Call .85 +1.19%
  • NYSE Arms 1.30 -15.52%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.97 +.47%
  • America Energy Sector High-Yield CDS Index 369.0 +1.15%
  • European Financial Sector CDS Index 46.69 +1.53%
  • Western Europe Sovereign Debt CDS Index 3.62 +.84%
  • Asia Pacific Sovereign Debt CDS Index 14.79 +.08%
  • Emerging Market CDS Index 177.76 +1.08%
  • iBoxx Offshore RMB China Corporate High Yield Index 145.73 +.02%
  • 2-Year Swap Spread 17.75 +.5 basis point
  • TED Spread 19.75 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -58.5 -5.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.15 -.28%
  • 3-Month T-Bill Yield 1.29% -1.0 basis point
  • Yield Curve 52.5 -1.5 basis points
  • China Import Iron Ore Spot $72.68/Metric Tonne +3.67%
  • Citi US Economic Surprise Index 62.90 -.2 point
  • Citi Eurozone Economic Surprise Index 67.0 +.6 basis point
  • Citi Emerging Markets Economic Surprise Index 2.40 +.6 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 +123 open in Japan 
  • China A50 Futures: Indicating -33 open in China
  • DAX Futures: Indicating +23 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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