Friday, December 30, 2016

Weekly Scoreboard*

Indices
  • S&P 500 2,234.78 -1.15%
  • DJIA 19,753.12 -.93%
  • NASDAQ 5,382.82 -1.31%
  • Russell 2000 1,355.33 -.48%
  • S&P 500 High Beta 36.49 -1.80%
  • Goldman 50 Most Shorted 120.31 -.51%
  • Wilshire 5000 23,262.70 -1.03%
  • Russell 1000 Growth 1,051.55 -1.11%
  • Russell 1000 Value 1,100.14 -1.05%
  • S&P 500 Consumer Staples 530.90 -.67%
  • Vanda Cyclicals-Defensives 1.2853 -.15%
  • Morgan Stanley Technology 1,214.39 -1.15%
  • Transports 9,029.55 -1.43%
  • Utilities 660.60 +.07%
  • Bloomberg European Bank/Financial Services 91.89 -1.71%
  • MSCI Emerging Markets 35.15 +2.37%
  • HFRX Equity Hedge 1,154.54 -.40%
  • HFRX Equity Market Neutral 989.94 -.12%
Sentiment/Internals
  • NYSE Cumulative A/D Line 273,524 +.1%
  • Bloomberg New Highs-Lows Index 40 -52
  • Bloomberg Crude Oil % Bulls 44.83 +258.64%
  • CFTC Oil Net Speculative Position 436,661 +3.29%
  • CFTC Oil Total Open Interest 2,029,807 -3.56%
  • Total Put/Call .98 +11.63%
  • OEX Put/Call 2.1 +41.0%
  • ISE Sentiment 64.0 -33.98%
  • NYSE Arms 1.56 +13.18%
  • Volatility(VIX) 14.24 +23.4%
  • S&P 500 Implied Correlation 50.95 +4.73%
  • G7 Currency Volatility (VXY) 11.23 +2.18%
  • Emerging Markets Currency Volatility (EM-VXY) 11.34 +.09%
  • Smart Money Flow Index 19,262.20 -.66%
  • ICI Money Mkt Mutual Fund Assets $2.728 Trillion +.59%
  • ICI US Equity Weekly Net New Cash Flow -$5.106 Billion
  • AAII % Bulls 45.6 +2.1%
  • AAII % Bears 25.7 -11.7%
Futures Spot Prices
  • CRB Index 192.41 +1.12%
  • Crude Oil 53.59 +1.82%
  • Reformulated Gasoline 167.05 +4.38%
  • Natural Gas 3.71 +4.70%
  • Heating Oil 170.42 +2.86%
  • Gold 1,152.50 +2.0%
  • Bloomberg Base Metals Index 166.65 -1.07%
  • Copper 250.40 -.14%
  • US No. 1 Heavy Melt Scrap Steel 248.33 USD/Ton unch.
  • China Iron Ore Spot 78.87 USD/Ton +.93%
  • Lumber 316.70 +2.56%
  • UBS-Bloomberg Agriculture 1,131.76 +1.31%
Economy
  • Atlanta Fed GDPNow Forecast +2.5% unch.
  • ECRI Weekly Leading Economic Index Growth Rate +11.8% +50.0 basis points
  • Philly Fed ADS Real-Time Business Conditions Index -.2956 +8.43%
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 131.31 +.21%
  • Citi US Economic Surprise Index 23.30 +1.3 points
  • Citi Eurozone Economic Surprise Index 53.1 -3.2 points
  • Citi Emerging Markets Economic Surprise Index 18.1 +10.2 points
  • Fed Fund Futures imply 87.6% chance of no change 12.4% chance of 25 basis point hike on 2/1
  • US Dollar Index 102.29 -.8%
  • MSCI Emerging Markets Currency Index 1,506.09 +.30%
  • Euro/Yen Carry Return Index 128.51 +.34%
  • Yield Curve 125.0 -9.0 basis points
  • 10-Year US Treasury Yield 2.45% -9.0 basis points
  • Federal Reserve's Balance Sheet $4.413 Trillion -.4%
  • U.S. Sovereign Debt Credit Default Swap 26.75 -1.87%
  • Illinois Municipal Debt Credit Default Swap 358.0 -.05%
  • Western Europe Sovereign Debt Credit Default Swap Index 20.87 +2.38%
  • Asia Pacific Sovereign Debt Credit Default Swap Index 36.11 -2.99%
  • Emerging Markets Sovereign Debt CDS Index 79.62 -1.74%
  • Israel Sovereign Debt Credit Default Swap 75.50 +9.8%
  • Iraq Sovereign Debt Credit Default Swap 703.52 -7.42%
  • Russia Sovereign Debt Credit Default Swap 177.50 +3.03%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.21 +.06%
  • 10-Year TIPS Spread 1.97% -3.0 basis points
  • TED Spread 45.0 +1.0 basis point
  • 2-Year Swap Spread 26.0 -4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -56.0 +6.25 basis points
  • N. America Investment Grade Credit Default Swap Index 67.76 +1.44%
  • America Energy Sector High-Yield Credit Default Swap Index 458.0 +1.0%
  • European Financial Sector Credit Default Swap Index 93.56 +1.55%
  • Emerging Markets Credit Default Swap Index 241.99 -1.35%
  • CMBS AAA Super Senior 10-Year Treasury Spread to Swaps 134.0 unch.
  • M1 Money Supply $3.298 Trillion -1.28%
  • Commercial Paper Outstanding 986.50 +2.1%
  • 4-Week Moving Average of Jobless Claims 263,000 -750
  • Continuing Claims Unemployment Rate 1.5% unch.
  • Average 30-Year Mortgage Rate 4.32% +2.0 basis points
  • Weekly Mortgage Applications 407.30 +2.47%
  • Bloomberg Consumer Comfort 46.0 -.7 point
  • Weekly Retail Sales +1.3% +20.0 basis points
  • Nationwide Gas $2.32/gallon +.05/gallon
  • Baltic Dry Index 961.0 +1.59%
  • China (Export) Containerized Freight Index 811.14 +3.80%
  • Oil Tanker Rate(Arabian Gulf to U.S. Gulf Coast) 45.0 -14.3%
  • Rail Freight Carloads 252,716 -6.14%
Best Performing Style
  • Small-Cap Growth -.2%
Worst Performing Style
  • Large-Cap Growth -.8%
Leading Sectors
  • Gold & Silver +9.8%
  • Tobacco +1.8%
  • REITs +1.3%
  • Drugs +.7%
  • Agriculture +.5%
Lagging Sectors
  • Alt Energy -1.6% 
  • Restaurants -1.7%
  • Gaming -2.0%
  • Disk Drives -2.3%
  • Coal -3.0%
Weekly High-Volume Stock Gainers (3)
  • KATE, PTLA and WMK
Weekly High-Volume Stock Losers (1)
  • BAS
Weekly Charts
ETFs
Stocks
*5-Day Change

Stocks Reversing Lower into Final Hour on Pension Rebalancing, Profit-Taking, Technical Selling, Tech/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.29 +6.88%
  • Euro/Yen Carry Return Index 128.41 +.55%
  • Emerging Markets Currency Volatility(VXY) 11.34 -.18%
  • S&P 500 Implied Correlation 51.03 -1.14%
  • ISE Sentiment Index 56.0 -33.33%
  • Total Put/Call 1.0 +7.53%
  • NYSE Arms 1.55 +30.72%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.48 -.39%
  • America Energy Sector High-Yield CDS Index 458.0 +.98%
  • European Financial Sector CDS Index 93.57 -1.53%
  • Western Europe Sovereign Debt CDS Index 20.87 +1.78%
  • Asia Pacific Sovereign Debt CDS Index 36.11 -4.33%
  • Emerging Market CDS Index 241.99 +.39%
  • iBoxx Offshore RMB China Corporate High Yield Index 133.21 +.01%
  • 2-Year Swap Spread 26.0 +1.0 basis points
  • TED Spread 50.0 -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -56.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.79 unch.
  • 3-Month T-Bill Yield .50% +5.0 basis points
  • Yield Curve 126.0 unch.
  • China Import Iron Ore Spot $78.87/Metric Tonne -1.94%
  • Citi US Economic Surprise Index 23.30 -.6 point
  • Citi Eurozone Economic Surprise Index 53.10 -1.0 basis point
  • Citi Emerging Markets Economic Surprise Index 18.10 +.2 point
  • 10-Year TIPS Spread 1.97% +1.0 basis point
  • 31.3% chance of Fed rate hike at March 15 meeting, 42.0% chance at May 3 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -29 open in Japan 
  • China A50 Futures: Indicating +2 open in China
  • DAX Futures: Indicating -35 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
  • Market Exposure: Moved to 25% Net Long

Bear Radar

Style Underperformer:
  • Large-Cap Growth -.3%
Sector Underperformers:
  • 1) Gold & Silver -2.5% 2) Semis -1.0% 3) Steel -.8%
Stocks Falling on Unusual Volume: 
  • CAB, LIVE, NVDA and TTD
Stocks With Unusual Put Option Activity:
  • 1) ZNGA 2) DXJ 3) MDLZ 4) DLTR 5) YELP
Stocks With Most Negative News Mentions:
  • 1) GILD 2) CLD 3) EGN 4) AGTC 5) PRU
Charts:

Bull Radar

Style Outperformer:
  • Mid-Cap Value unch.
Sector Outperformers:
  • 1) Oil Service +.7% 2) REITs +.6% 3) Banks +.5%
Stocks Rising on Unusual Volume:
  • KATE and ACOR
Stocks With Unusual Call Option Activity:
  • 1) HCA 2) UUP 3) BSX 4) YUM 5) MYL
Stocks With Most Positive News Mentions:
  • 1) AVID 2) AVGO 3) CEMP 4) WMT 5) ENDP
Charts:

Morning Market Internals

NYSE Composite Index:

Thursday, December 29, 2016

Friday Watch

Evening Headlines
Bloomberg:
Wall Street Journal:
Zero Hedge:
Business Insider:
Night Trading 
  • Asian equity indices are -.50% to -.50% on average.
  • Asia Ex-Japan Investment Grade CDS Index 121.75 +.5 basis point.
  • Asia Pacific Sovereign CDS Index 37.75 unch.
  • Bloomberg Emerging Markets Currency Index 69.97 +.26%
  • S&P 500 futures +.04%. 
  • NASDAQ 100 futures +.08%.
Morning Preview Links

Earnings of Note
Company/Estimate

  • None of note
Economic Releases
9:45 am EST
  • Chicago Purchasing Manager for December is estimated to fall to 57.0 versus 57.6 in November.     
Upcoming Splits 
  • None of note
Other Potential Market Movers
  • The China Current Account Balance report could also impact trading today.
BOTTOM LINE:  Asian indices are mostly lower, weighed down by industrial and financial shares in the region. I expect US stocks to open mixed and to weaken into the afternoon, finishing modestly lower. The Portfolio is 50% net long heading into the day.