Monday, December 11, 2017

Stocks Rising into Final Hour on Economic Optimism, Oil Gain, Seasonality, Tech/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.51 -.73%
  • Euro/Yen Carry Return Index 139.41 +.12%
  • Emerging Markets Currency Volatility(VXY) 7.87 -1.13%
  • S&P 500 Implied Correlation 36.42 +1.73%
  • ISE Sentiment Index 109.0 +17.2%
  • Total Put/Call .76 -20.0%
  • NYSE Arms .71 +36.57%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.48 -1.02%
  • America Energy Sector High-Yield CDS Index 374.0 +.19%
  • European Financial Sector CDS Index 45.39 -.63%
  • Western Europe Sovereign Debt CDS Index 3.41 -.87%
  • Asia Pacific Sovereign Debt CDS Index 14.04 -1.34%
  • Emerging Market CDS Index 177.26 -.02%
  • iBoxx Offshore RMB China Corporate High Yield Index 145.99 +.07%
  • 2-Year Swap Spread 19.25 -.25 basis point
  • TED Spread 27.25 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -57.75 +3.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.03 +.04%
  • 3-Month T-Bill Yield 1.29% +1.0 basis point
  • Yield Curve 56.5 -2.0 basis points
  • China Iron Ore Spot 504.0 CNY/100 Metric Tonnes +.80%
  • Citi US Economic Surprise Index 63.10 -2.1 points
  • Citi Eurozone Economic Surprise Index 55.40 -4.7 basis points
  • Citi Emerging Markets Economic Surprise Index 9.50 +.8 point
  • 10-Year TIPS Spread 1.90 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 -13 open in Japan 
  • China A50 Futures: Indicating +40 open in China
  • DAX Futures: Indicating +21 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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