Monday, February 26, 2018

Stocks Surging into Final Hour on Lower Long-Term Rates, Less US/European/Emerging Markets Debt Angst, Technical Buying, Tech/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.66 +1.0%
  • Euro/Yen Carry Return Index 137.10 +.19%
  • Emerging Markets Currency Volatility(VXY) 8.16 -.97%
  • S&P 500 Implied Correlation 36.70 -1.13%
  • ISE Sentiment Index 88.0 -5.4%
  • Total Put/Call .91 -6.19%
  • NYSE Arms .82 -1.58%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.0 -3.0%
  • America Energy Sector High-Yield CDS Index 364.0 -1.1%
  • European Financial Sector CDS Index 54.52 -6.66%
  • Italian/German 10Y Yld Spread 136.5 -5.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.69 +.25%
  • Emerging Market CDS Index 116.84 -3.48%
  • iBoxx Offshore RMB China Corporate High Yield Index 147.87 -.04%
  • 2-Year Swap Spread 26.75 +1.75 basis points
  • TED Spread 32.25 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.0 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.87 +.21%
  • 3-Month T-Bill Yield 1.64% unch.
  • Yield Curve 63.0 unch.
  • China Iron Ore Spot 78.35 USD/Metric Tonne -.41%
  • Citi US Economic Surprise Index 37.70 -12.4 points
  • Citi Eurozone Economic Surprise Index -.3 +3.8 points
  • Citi Emerging Markets Economic Surprise Index 7.20 +2.8 points
  • 10-Year TIPS Spread 2.14 +2.0 basis points
  • 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +236 open in Japan 
  • China A50 Futures: Indicating +125 open in China
  • DAX Futures: Indicating +38 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/tech/retail/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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