Thursday, December 21, 2017

Stocks Rising into Final Hour on Tax Reform Hopes, Economic Optimism, Seasonality, Energy/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.57 -1.54%
  • Euro/Yen Carry Return Index 140.22 -.05%
  • Emerging Markets Currency Volatility(VXY) 7.93 +2.85%
  • S&P 500 Implied Correlation 36.62 +1.52%
  • ISE Sentiment Index 74.0 -32.11%
  • Total Put/Call .83 +3.75%
  • NYSE Arms .59 -30.40%
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.57 -1.48%
  • America Energy Sector High-Yield CDS Index 374.0 -.41%
  • European Financial Sector CDS Index 44.86 -1.13%
  • Western Europe Sovereign Debt CDS Index 3.96 unch.
  • Asia Pacific Sovereign Debt CDS Index 13.25 -.23%
  • Emerging Market CDS Index 121.01 +.39%
  • iBoxx Offshore RMB China Corporate High Yield Index 145.81 unch.
  • 2-Year Swap Spread 20.75 -.5 basis point
  • TED Spread 31.5 +7.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -65.25 -9.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.72 -.08%
  • 3-Month T-Bill Yield 1.34% -4.0 basis points
  • Yield Curve 60.5 -3.0 basis points
  • China Iron Ore Spot 515.0 CNY/100 Metric Tonnes -.39%
  • Citi US Economic Surprise Index 73.90 -4.5 points
  • Citi Eurozone Economic Surprise Index 53.20 -.6 basis point
  • Citi Emerging Markets Economic Surprise Index .6 +.7 basis point
  • 10-Year TIPS Spread 1.95 +2.0 basis points
  • 69.0% chance of Fed rate hike at March 21 meeting, 71.7% chance at May 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +30 open in Japan 
  • China A50 Futures: Indicating +46 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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