Friday, January 06, 2017

Weekly Scoreboard*

Indices
  • S&P 500 2,279.30 +1.34%
  • DJIA 19,978.30 +.82%
  • NASDAQ 5,525.89 +1.73%
  • Russell 2000 1,369.70 +.49%
  • S&P 500 High Beta 37.687 +2.67%
  • Goldman 50 Most Shorted 122.11 +.93%
  • Wilshire 5000 23,690.30 +1.32%
  • Russell 1000 Growth 1,079.81 +1.79%
  • Russell 1000 Value 1,116.40 +1.09%
  • S&P 500 Consumer Staples 535.51 +.27%
  • Vanda Cyclicals-Defensives 1.2716 -.37%
  • Morgan Stanley Technology 1,259.63 +2.65%
  • Transports 9,095.08 +.61%
  • Utilities 662.17 -.16%
  • Bloomberg European Bank/Financial Services 95.42 +3.8%
  • MSCI Emerging Markets 35.90 +2.43%
  • HFRX Equity Hedge 1,164.42 +.86%
  • HFRX Equity Market Neutral 988.14 -.18%
Sentiment/Internals
  • NYSE Cumulative A/D Line 276,605 +.47%
  • Bloomberg New Highs-Lows Index 373 +333
  • Bloomberg Crude Oil % Bulls 51.52 +14.92%
  • CFTC Oil Net Speculative Position 444,932 +1.89%
  • CFTC Oil Total Open Interest 2,037,834 +.4%
  • Total Put/Call .94 -15.24%
  • OEX Put/Call 1.25 +45.74%
  • ISE Sentiment 65.0 -3.28%
  • NYSE Arms 1.16 +3.39%
  • Volatility(VIX) 11.46 -15.56%
  • S&P 500 Implied Correlation 46.45 -11.02%
  • G7 Currency Volatility (VXY) 10.57 -5.88%
  • Emerging Markets Currency Volatility (EM-VXY) 11.10 -2.12%
  • Smart Money Flow Index 19,210.40 -.27%
  • ICI Money Mkt Mutual Fund Assets $2.718 Trillion -.41%
  • ICI US Equity Weekly Net New Cash Flow -$3.803 Billion
  • AAII % Bulls 46.2 +1.4%
  • AAII % Bears 25.2 -2.0%
Futures Spot Prices
  • CRB Index 193.54 +.21%
  • Crude Oil 53.73 unch.
  • Reformulated Gasoline 162.75 -2.75%
  • Natural Gas 3.28 -13.69%
  • Heating Oil 169.95 -.58%
  • Gold 1,171.80 +1.15%
  • Bloomberg Base Metals Index 168.17 +.91%
  • Copper 253.85 +2.13%
  • US No. 1 Heavy Melt Scrap Steel 248.33 USD/Ton unch.
  • China Iron Ore Spot 76.25 USD/Ton -3.32%
  • Lumber 327.40 +4.85%
  • UBS-Bloomberg Agriculture 1,154.89 +2.21%
Economy
  • Atlanta Fed GDPNow Forecast +2.9% +40.0 basis points
  • ECRI Weekly Leading Economic Index Growth Rate +12.0% +20.0 basis points
  • Philly Fed ADS Real-Time Business Conditions Index -.0778 +22.8%
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 131.51 +.15%
  • Citi US Economic Surprise Index 27.0 +3.7 points
  • Citi Eurozone Economic Surprise Index 71.1 +18.0 points
  • Citi Emerging Markets Economic Surprise Index 26.0 +7.9 points
  • Fed Fund Futures imply 89.6% chance of no change 10.4% chance of 25 basis point hike on 2/1
  • US Dollar Index 102.27 -.36%
  • MSCI Emerging Markets Currency Index 1,520.05 +.93%
  • Euro/Yen Carry Return Index 128.74 +.18%
  • Yield Curve 120.0 -5.0 basis points
  • 10-Year US Treasury Yield 2.42% -3.0 basis points
  • Federal Reserve's Balance Sheet $4.415 Trillion +.03%
  • U.S. Sovereign Debt Credit Default Swap 26.64 -.41%
  • Illinois Municipal Debt Credit Default Swap 357.0 -.06%
  • Western Europe Sovereign Debt Credit Default Swap Index 20.65 -1.08%
  • Asia Pacific Sovereign Debt Credit Default Swap Index 33.73 -6.60%
  • Emerging Markets Sovereign Debt CDS Index 74.93 -5.89%
  • Israel Sovereign Debt Credit Default Swap 68.89 -9.1%
  • Iraq Sovereign Debt Credit Default Swap 703.49 unch.
  • Russia Sovereign Debt Credit Default Swap 170.50 -6.06%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.90 -.23%
  • 10-Year TIPS Spread 1.99% +2.0 basis points
  • TED Spread 49.75 +4.75 basis point
  • 2-Year Swap Spread 27.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -46.50 -9.5 basis points
  • N. America Investment Grade Credit Default Swap Index 64.35 -5.03%
  • America Energy Sector High-Yield Credit Default Swap Index 421.0 -7.94%
  • European Financial Sector Credit Default Swap Index 87.04 -6.83%
  • Emerging Markets Credit Default Swap Index 229.47 -5.27%
  • CMBS AAA Super Senior 10-Year Treasury Spread to Swaps 134.0 unch.
  • M1 Money Supply $3.326 Trillion +.84%
  • Commercial Paper Outstanding 950.0 -3.7%
  • 4-Week Moving Average of Jobless Claims 256,750 -6,250
  • Continuing Claims Unemployment Rate 1.5% unch.
  • Average 30-Year Mortgage Rate 4.20% -12.0 basis points
  • Weekly Mortgage Applications 358.50 +.14%
  • Bloomberg Consumer Comfort 45.5 -.5 point
  • Weekly Retail Sales +1.5% +20.0 basis points
  • Nationwide Gas $2.37/gallon +.05/gallon
  • Baltic Dry Index 983.0 +1.59%
  • China (Export) Containerized Freight Index 806.26 -.6%
  • Oil Tanker Rate(Arabian Gulf to U.S. Gulf Coast) 57.50 +27.8%
  • Rail Freight Carloads 210,031 -16.9%
Best Performing Style
  • Large-Cap Growth +1.8%
Worst Performing Style
  • Small-Cap Value +.4%
Leading Sectors
  • Social Media +4.9%
  • Biotech +4.9%
  • I-Banks +4.6%
  • Oil Service +4.3%
  • Gaming +3.3%
Lagging Sectors
  • Coal -.5% 
  • Retail -.5%
  • Foods -.6%
  • Papers -.8%
  • Semis -1.3%
Weekly High-Volume Stock Gainers (3)
  • HALO, CEB and SHAK
Weekly High-Volume Stock Losers (4)
  • CAB, DSW, IT and ARDX
Weekly Charts
ETFs
Stocks
*5-Day Change

Stocks Rising into Afternoon on Economic Optimism, Yen Weakness, Technical Buying, Tech/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.28 -3.34%
  • Euro/Yen Carry Return Index 128.76 +.75%
  • Emerging Markets Currency Volatility(VXY) 11.10 -1.94%
  • S&P 500 Implied Correlation 45.96 -1.67%
  • ISE Sentiment Index 60.0 -37.50%
  • Total Put/Call .89 -22.61%
  • NYSE Arms 1.17 +15.04%
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.07 +.26%
  • America Energy Sector High-Yield CDS Index 422.0 -.69%
  • European Financial Sector CDS Index 87.50 +.36%
  • Western Europe Sovereign Debt CDS Index 20.65 -1.45%
  • Asia Pacific Sovereign Debt CDS Index 33.73 +1.32%
  • Emerging Market CDS Index 229.22 +.83%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.90 +.05%
  • 2-Year Swap Spread 27.0 +1.25 basis points
  • TED Spread 49.75 +1.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -46.75 -1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.98 -.41%
  • 3-Month T-Bill Yield .51% -1.0 basis point
  • Yield Curve 120.0 -1.0 basis point
  • China Import Iron Ore Spot $76.25/Metric Tonne -3.4%
  • Citi US Economic Surprise Index 27.0 -1.9 points
  • Citi Eurozone Economic Surprise Index 71.10 +10.5 basis point
  • Citi Emerging Markets Economic Surprise Index 26.0 +2.0 points
  • 10-Year TIPS Spread 1.98% unch.
  • 34.8% chance of Fed rate hike at March 15 meeting, 47.8% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +186 open in Japan 
  • China A50 Futures: Indicating +44 open in China
  • DAX Futures: Indicating +11 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

Bear Radar

Style Underperformer:
  • Small-Cap Value +.1%
Sector Underperformers:
  • 1) Gold & Silver -3.9% 2) Steel -1.6% 3) Homebuilders -1.3%
Stocks Falling on Unusual Volume: 
  • LIVE, ICUI, SHAK, REGN, CHDN, GIII, AZZ, TEVA, SHOP, P, CYNO, TAHO, CATO, FCN, MAG, SCHN, MERC, BRFS, GLP, AEO, DEPO, IFF, CLGX, BGFV, TLRD, SHLD and EROS
Stocks With Unusual Put Option Activity:
  • 1) CTSH 2) JCP 3) REGN 4) BK 5) BSX
Stocks With Most Negative News Mentions:
  • 1) GPRO 2) SHAK 3) FCN 4) VALE 5) ADM
Charts:

Bull Radar

Style Outperformer:
  • Large-Cap Growth +.4%
Sector Outperformers:
  • 1) Internet +.9% 2) Restaurants +.6% 3) Insurance +.6%
Stocks Rising on Unusual Volume:
  • PCRX, MNTA, GBX, GKOS, NBIX, ETSY, STML and FCAU
Stocks With Unusual Call Option Activity:
  • 1) ILMN 2) CPN 3) REGN 4) DEPO 5) SLV
Stocks With Most Positive News Mentions:
  • 1) PSMT 2) HWAY 3) VRTU 4) WAT 5) ILMN
Charts:

Morning Market Internals

NYSE Composite Index: