Friday, December 02, 2016

Weekly Scoreboard*


Indices
  • S&P 500 2,191.73 -1.05%
  • DJIA 19,172.0 +.03%
  • NASDAQ 5,255.43 -2.78%
  • Russell 2000 1,314.76 -2.46%
  • S&P 500 High Beta 36.52 +1.42%
  • Goldman 50 Most Shorted 119.80 -1.98%
  • Wilshire 5000 22,787.90 -1.23%
  • Russell 1000 Growth 1,032.33 -2.04%
  • Russell 1000 Value 1,078.85 -.18%
  • S&P 500 Consumer Staples 516.36 -1.67%
  • Vanda Cyclicals-Defensives 1.3137 -.008%
  • Morgan Stanley Technology 1,182.85 -3.50%
  • Transports 9,050.91 -.09%
  • Utilities 633.61 -1.31%
  • Bloomberg European Bank/Financial Services 85.17 -.1%
  • MSCI Emerging Markets 35.20 -.24%
  • HFRX Equity Hedge 1,153.39 +.38%
  • HFRX Equity Market Neutral 997.98 -.17%
Sentiment/Internals
  • NYSE Cumulative A/D Line 268,516 -.64%
  • Bloomberg New Highs-Lows Index 240-400
  • Bloomberg Crude Oil % Bulls 56.41 +26.94%
  • CFTC Oil Net Speculative Position 276,320 unch.
  • CFTC Oil Total Open Interest 1,995,504 -1.58%
  • Total Put/Call .95 +24.05%
  • OEX Put/Call 1.21 -83.57%
  • ISE Sentiment 93.0 -21.74%
  • NYSE Arms .88 -15.53%
  • Volatility(VIX) 14.12 +14.83%
  • S&P 500 Implied Correlation 52.96 -.8%
  • G7 Currency Volatility (VXY) 10.67 +1.52%
  • Emerging Markets Currency Volatility (EM-VXY) 10.95 -2.41%
  • Smart Money Flow Index 19,137.31 -.5%
  • ICI Money Mkt Mutual Fund Assets $2.719 Trillion +.51%
  • ICI US Equity Weekly Net New Cash Flow -$.844 Billion
  • AAII % Bulls 43.8 -12.3%
  • AAII % Bears 25.1 +13.7%
Futures Spot Prices
  • CRB Index 191.69 +3.21%
  • Crude Oil 51.66 +12.38%
  • Reformulated Gasoline 155.99 +13.66%
  • Natural Gas 3.45 +12.44%
  • Heating Oil 166.28 +13.17%
  • Gold 1,176.30 -.59%
  • Bloomberg Base Metals Index 173.62 -1.88%
  • Copper 262.70 -1.92%
  • US No. 1 Heavy Melt Scrap Steel 207.0 USD/Ton unch.
  • China Iron Ore Spot 77.79 USD/Ton -2.29%
  • Lumber 336.90 +.75%
  • UBS-Bloomberg Agriculture 1,134.20 -2.5%
Economy
  • Atlanta Fed GDPNow Forecast +2.9% -70.0 basis points
  • ECRI Weekly Leading Economic Index Growth Rate +8.3% +210.0 basis points
  • Philly Fed ADS Real-Time Business Conditions Index -.1274 +6.05%
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 130.29 +.29%
  • Citi US Economic Surprise Index 24.70 +15.4 points
  • Citi Eurozone Economic Surprise Index 61.40 -1.9 points
  • Citi Emerging Markets Economic Surprise Index 1.5 +7.1 points
  • Fed Fund Futures imply 0.0% chance of no change 100.0% chance of 25 basis point hike on 12/14
  • US Dollar Index 100.78 -.76%
  • MSCI Emerging Markets Currency Index 1,500.32 +.27%
  • Euro/Yen Carry Return Index 126.67 +1.03%
  • Yield Curve 128.0 +4.0 basis points
  • 10-Year US Treasury Yield 2.39% +3.0 basis points
  • Federal Reserve's Balance Sheet $4.407 Trillion -.46%
  • U.S. Sovereign Debt Credit Default Swap 29.9 +3.45%
  • Illinois Municipal Debt Credit Default Swap 358.0 -.02%
  • Western Europe Sovereign Debt Credit Default Swap Index 23.19 -1.23%
  • Asia Pacific Sovereign Debt Credit Default Swap Index 41.47 -6.38%
  • Emerging Markets Sovereign Debt CDS Index 99.97 -1.23%
  • Israel Sovereign Debt Credit Default Swap 71.09 -3.41%
  • Iraq Sovereign Debt Credit Default Swap 760.05 +1.38%
  • Russia Sovereign Debt Credit Default Swap 222.33 -3.29%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.95 +.05%
  • 10-Year TIPS Spread 1.95% +2.0 basis points
  • TED Spread 47.0 +2.5 basis points
  • 2-Year Swap Spread 20.5 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap 615.0 -5.75 basis points
  • N. America Investment Grade Credit Default Swap Index 72.83 -.44%
  • America Energy Sector High-Yield Credit Default Swap Index 551.0 -10.26%
  • European Financial Sector Credit Default Swap Index 104.75 -3.6%
  • Emerging Markets Credit Default Swap Index 272.82 +.69%
  • CMBS AAA Super Senior 10-Year Treasury Spread to Swaps 135.0 -2.5 basis points
  • M1 Money Supply $3.404 Trillion +.64%
  • Commercial Paper Outstanding 923.8 +.2%
  • 4-Week Moving Average of Jobless Claims 251,500 +500
  • Continuing Claims Unemployment Rate 1.5% unch.
  • Average 30-Year Mortgage Rate 4.08% +5.0 basis points
  • Weekly Mortgage Applications 417.20 -9.4%
  • Bloomberg Consumer Comfort 44.9 +.1 point
  • Weekly Retail Sales +1.20% +30.0 basis points
  • Nationwide Gas $2.16/gallon +.03/gallon
  • Baltic Dry Index 1,196.0 +1.27%
  • China (Export) Containerized Freight Index 774.05 -.40%
  • Oil Tanker Rate(Arabian Gulf to U.S. Gulf Coast) 40.0 unch.
  • Rail Freight Carloads 222,893 -19.35%
Best Performing Style
  • Large-Cap Value -.2%
Worst Performing Style
  • Small-Cap Growth -3.8%
Leading Sectors
  • Oil Service +7.3%
  • Coal +4.9%
  • Gold & Silver +4.2%
  • Energy +3.4%
  • Banks +1.4%
Lagging Sectors
  • Hospitals -3.5% 
  • Software -3.5%
  • Alt Energy -4.6%
  • Biotech -4.7%
  • Semis -5.0%
Weekly High-Volume Stock Gainers (10)
  • TLYS, CLC, NOVN, SKX, TIME, THO, PKY, WGL, IIIN and UA/C
Weekly High-Volume Stock Losers (8)
  • GOOD, KNSL, SNBC, SSNC, BOJA, SITE, SCVL and GES
Weekly Charts
ETFs
Stocks
*5-Day Change

Stocks Slightly Lower into Final Hour on European Debt Angst, Yen Strength, Profit-Taking, Financial/Restaurant Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.09 +.14%
  • Euro/Yen Carry Return Index 126.60 -.36%
  • Emerging Markets Currency Volatility(VXY) 10.95 +.09%
  • S&P 500 Implied Correlation 52.71 -4.51%
  • ISE Sentiment Index 105.0 +25.0%
  • Total Put/Call .98 +4.26%
  • NYSE Arms .91 +36.38%
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.82 -.81%
  • America Energy Sector High-Yield CDS Index 551.0 -3.23%
  • European Financial Sector CDS Index 104.75 -1.76%
  • Western Europe Sovereign Debt CDS Index 23.18 -.79%
  • Asia Pacific Sovereign Debt CDS Index 41.47 -.38%
  • Emerging Market CDS Index 272.82 -.17%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.95 -.02%
  • 2-Year Swap Spread 20.5 +.75 basis point
  • TED Spread 47.5 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -61.0 -4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.34 +.21%
  • 3-Month T-Bill Yield .47% unch.
  • Yield Curve 129.0 unch.
  • China Import Iron Ore Spot $77.79/Metric Tonne -.73%
  • Citi US Economic Surprise Index 24.70 +6.5 points
  • Citi Eurozone Economic Surprise Index 61.40 +.1 point
  • Citi Emerging Markets Economic Surprise Index 1.5 +3.0 points
  • 10-Year TIPS Spread 1.95% -5.0 basis points
  • 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -51 open in Japan 
  • China A50 Futures: Indicating +12 open in China
  • DAX Futures: Indicating -8 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/biotech/tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

Morning Market Internals

NYSE Composite Index: