Wednesday, May 23, 2018

Stocks Reversing Slightly Higher into Final Hour on Lower Long-Term Rates, Earnings Optimism, Technical Buying, Homebuilding/REIT Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.9 -2.8%
  • Euro/Yen Carry Return Index 134.1 -1.4%
  • Emerging Markets Currency Volatility(VXY) 9.3 +4.3%
  • S&P 500 Implied Correlation 35.45 -.51%
  • ISE Sentiment Index 92.0 -32.1%
  • Total Put/Call .97 +16.9%
  • NYSE Arms 1.28 +26.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.73 +.13%
  • America Energy Sector High-Yield CDS Index 354.0 +1.42%
  • European Financial Sector CDS Index 69.46 +2.74%
  • Italian/German 10Y Yld Spread 189.25 +12.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.45 +1.26%
  • Emerging Market CDS Index 156.65 -4.46%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.55 +.01%
  • 2-Year Swap Spread 22.5 -1.0 basis point
  • TED Spread 40.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -2.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.35 +.07%
  • 3-Month T-Bill Yield 1.91% -2.0 basis points
  • Yield Curve 47.75 -2.0 basis points
  • China Iron Ore Spot 63.85 USD/Metric Tonne -.13%
  • Citi US Economic Surprise Index 9.80 -1.1 points
  • Citi Eurozone Economic Surprise Index -98.80 -19.0 points
  • Citi Emerging Markets Economic Surprise Index -6.0 -.4 point
  • 10-Year TIPS Spread 2.15 -3.0 basis points
  • 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -89  open in Japan 
  • China A50 Futures: Indicating +14 open in China
  • DAX Futures: Indicating +32 open in Germany
Portfolio: 
  • Higher: On gains in my medical/retail/biotech/tech sector longs and my emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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