Thursday, June 14, 2018

Stocks Modestly Higher into Final Hour on Economic Optimism, Stable Long-Term Rates, Yen Weakness, Tech/Biotech Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.18 -5.87%
  • Euro/Yen Carry Return Index 133.58 -1.4%
  • Emerging Markets Currency Volatility(VXY) 9.51 +.11%
  • S&P 500 Implied Correlation 34.04 -4.28%
  • ISE Sentiment Index 97.0 +22.78%
  • Total Put/Call .90 +23.29%
  • NYSE Arms 1.18 -1.42%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.43 -3.31%
  • America Energy Sector High-Yield CDS Index 377.0 -.21%
  • European Financial Sector CDS Index 75.87 -6.55%
  • Italian/German 10Y Yld Spread 231.25 -1.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.71 -.74%
  • Emerging Market CDS Index 188.31 +2.39%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.04 +.17%
  • 2-Year Swap Spread 26.75 +.25 basis point
  • TED Spread 41.75 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.75 +1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.03 -.77%
  • 3-Month T-Bill Yield 1.92% -1.0 basis point
  • Yield Curve 37.25 -2.75 basis points
  • China Iron Ore Spot 65.80 USD/Metric Tonne -.6%
  • Citi US Economic Surprise Index 16.20 +6.6 points
  • Citi Eurozone Economic Surprise Index -98.90 +1.4 points
  • Citi Emerging Markets Economic Surprise Index -26.70 -9.7 points
  • 10-Year TIPS Spread 2.13 -1.0 basis point
  • 84.5% chance of Fed rate hike at Sept. 26th meeting, 85.4% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +142 open in Japan 
  • China A50 Futures: Indicating -20 open in China
  • DAX Futures: Indicating +41 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical/biotech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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