Monday, June 11, 2018

Stocks Rising into Final Hour on Less Eurozone Debt Angnst, Oil Gain, Yen Weakness, Transport/Retail Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.4 +1.6%
  • Euro/Yen Carry Return Index 134.98 +.6%
  • Emerging Markets Currency Volatility(VXY) 9.62 +.31%
  • S&P 500 Implied Correlation 34.08 +.47%
  • ISE Sentiment Index 97.0 -.23%
  • Total Put/Call .69 -26.60%
  • NYSE Arms .69 +.76%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.66 -2.56%
  • America Energy Sector High-Yield CDS Index 377.0 +.29%
  • European Financial Sector CDS Index 83.58 -7.83%
  • Italian/German 10Y Yld Spread 267.75 -33.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.97 -1.67%
  • Emerging Market CDS Index 178.44 +1.09%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.74 -.03%
  • 2-Year Swap Spread 27.25 unch.
  • TED Spread 41.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.75 +1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.87 -.28%
  • 3-Month T-Bill Yield 1.90% -2.0 basis points
  • Yield Curve 43.0 -.25 basis point
  • China Iron Ore Spot 65.35 USD/Metric Tonne -.20%
  • Citi US Economic Surprise Index 9.20 -1.0 point
  • Citi Eurozone Economic Surprise Index -98.0 +2.1 points
  • Citi Emerging Markets Economic Surprise Index -16.20 -1.3 points
  • 10-Year TIPS Spread 2.14 +1.0 basis point
  • 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +161 open in Japan 
  • China A50 Futures: Indicating -15 open in China
  • DAX Futures: Indicating +43 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical/industrial/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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