Wednesday, March 21, 2018

Stocks Rising into Final Hour on Economic Optimism, Diminishing Trade War Fears, Oil Gain, Commodity/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 17.56 -3.46%
  • Euro/Yen Carry Return Index 136.22 +.30%
  • Emerging Markets Currency Volatility(VXY) 7.85 -.51%
  • S&P 500 Implied Correlation 42.11 -4.73%
  • ISE Sentiment Index 99.0 +12.5%
  • Total Put/Call 1.19 +43.4%
  • NYSE Arms .65 -29.61%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.84 -1.67%
  • America Energy Sector High-Yield CDS Index 426.0 +1.82%
  • European Financial Sector CDS Index 63.23 +.49%
  • Italian/German 10Y Yld Spread 131.25 unch.
  • Asia Pacific Sovereign Debt CDS Index 12.86 -.46%
  • Emerging Market CDS Index 139.14 -2.27%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.58 +.03%
  • 2-Year Swap Spread 32.75 +2.75 basis points
  • TED Spread 45.25 +4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.25 +11.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.22 +.58%
  • 3-Month T-Bill Yield 1.74% -5.0 basis points
  • Yield Curve 58.25 +3.5 basis points
  • China Iron Ore Spot 66.55 USD/Metric Tonne +.39%
  • Citi US Economic Surprise Index 39.4 -2.0 points
  • Citi Eurozone Economic Surprise Index -38.60 -.7 points
  • Citi Emerging Markets Economic Surprise Index 37.60 -.9 point
  • 10-Year TIPS Spread 2.10 +1.0 basis point
  • 78.5% chance of Fed rate hike at June 13 meeting, 80.7% chance at August 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -95 open in Japan 
  • China A50 Futures: Indicating -49 open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my industrial/retail/biotech/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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