Thursday, January 04, 2018

Stocks Rising into Final Hour on Economic Optimism, Oil Gain, Yen Weakness, Financial/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.15 unch.
  • Euro/Yen Carry Return Index 141.85 +.69%
  • Emerging Markets Currency Volatility(VXY) 7.72 -2.15%
  • S&P 500 Implied Correlation 33.67 -2.89%
  • ISE Sentiment Index 104.0 -7.14%
  • Total Put/Call .83 -4.6%
  • NYSE Arms 1.10 +22.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 46.04 -3.49%
  • America Energy Sector High-Yield CDS Index 356.0 -.66%
  • European Financial Sector CDS Index 42.04 -2.50%
  • Western Europe Sovereign Debt CDS Index 3.96 n/a
  • Asia Pacific Sovereign Debt CDS Index 12.08 -4.96%
  • Emerging Market CDS Index 112.55 -2.13%
  • iBoxx Offshore RMB China Corporate High Yield Index 146.30 +.04%
  • 2-Year Swap Spread 18.5 +.25 basis point
  • TED Spread 29.75 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.50 -1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.22 +.38%
  • 3-Month T-Bill Yield 1.39% unch.
  • Yield Curve 50.0 -1.5 basis points
  • China Iron Ore Spot 507.50 CNY/100 Metric Tonnes unch.
  • Citi US Economic Surprise Index 80.70 +2.5 points
  • Citi Eurozone Economic Surprise Index 46.80 unch.
  • Citi Emerging Markets Economic Surprise Index -1.2 -.3 point
  • 10-Year TIPS Spread 2.01 +1.0 basis point
  • 81.5% chance of Fed rate hike at March 21 meeting, 82.7% chance at May 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +173 open in Japan 
  • China A50 Futures: Indicating +80 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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