Friday, March 31, 2017

Weekly Scoreboard*


Indices
  • S&P 500 2,365.32 +.91%
  • DJIA 20,669.70 +.35%
  • NASDAQ 5,918.13 +1.49%
  • Russell 2000 1,387.77 +2.51%
  • S&P 500 High Beta 37.66 +3.31%
  • Goldman 50 Most Shorted 121.53 +3.44%
  • Wilshire 5000 24,531.60 +1.19%
  • Russell 1000 Growth 1,144.68 +1.10%
  • Russell 1000 Value 1,133.88 +1.05%
  • S&P 500 Consumer Staples 563.19 +.15%
  • Vanda Cyclicals-Defensives 1.3051 +1.38%
  • Morgan Stanley Technology 1,383.09 +1.38%
  • Transports 9,138.07 +2.31%
  • Utilities 699.18 -.87%
  • Bloomberg European Bank/Financial Services 96.69 +.91%
  • MSCI Emerging Markets 39.28 -.98%
  • HFRX Equity Hedge 1,185.59 +.27%
  • HFRX Equity Market Neutral 1,002.82 +.07%
Sentiment/Internals
  • NYSE Cumulative A/D Line 283,718 +1.04%
  • Bloomberg New Highs-Lows Index 266 +141
  • Bloomberg Crude Oil % Bulls 47.50 +90.0%
  • CFTC Oil Net Speculative Position 418,517 -3.52%
  • CFTC Oil Total Open Interest 2,194,206 -2.06%
  • Total Put/Call 1.22 +1.65%
  • OEX Put/Call 10.55 +1,265.0%
  • ISE Sentiment 98.0 -2.97%
  • NYSE Arms 1.43 -31.25%
  • Volatility(VIX) 13.28 +14.6%
  • S&P 500 Implied Correlation 48.29 +5.48%
  • G7 Currency Volatility (VXY) 8.86 -2.74%
  • Emerging Markets Currency Volatility (EM-VXY) 9.02 -.99%
  • Smart Money Flow Index 19,530.27 +.08%
  • ICI Money Mkt Mutual Fund Assets $2.654 Trillion unch.
  • ICI US Equity Weekly Net New Cash Flow -$1.040 Billion
  • AAII % Bulls 30.2% -14.3%
  • AAII % Bears 37.4 +22.6%
Futures Spot Prices
  • CRB Index 185.61 +1.16%
  • Crude Oil 50.54 +4.63%
  • Reformulated Gasoline 169.26 +4.7%
  • Natural Gas 3.17 +3.38%
  • Heating Oil 156.74 +3.74%
  • Gold 1,247.0 +.42%
  • Bloomberg Base Metals Index 179.76 +.61%
  • Copper 265.45 +.42%
  • US No. 1 Heavy Melt Scrap Steel 277.0 USD/Ton +3.85%
  • China Iron Ore Spot 80.39 USD/Ton -5.49%
  • Lumber 382.80 +1.17%
  • UBS-Bloomberg Agriculture 1,098.30 -1.4%
Economy
  • Atlanta Fed GDPNow Forecast +.9% -10.0 basis points
  • ECRI Weekly Leading Economic Index Growth Rate +7.9% -110.0 basis points
  • Philly Fed ADS Real-Time Business Conditions Index -.0991 +9.58% 
  • US Economic Policy Uncertainty Index 121.10 -19.64%
  • S&P 500 Blended Forward 12 Months Mean EPS Estimate 133.77 +.31%
  • Citi US Economic Surprise Index 48.0 -6.1 points
  • Citi Eurozone Economic Surprise Index 54.10 -15.7 points
  • Citi Emerging Markets Economic Surprise Index 34.40 -10.6 points
  • Fed Fund Futures imply 86.7% chance of no change 13.3% chance of 25 basis point hike on 5/3
  • US Dollar Index 100.32 +.52%
  • MSCI Emerging Markets Currency Index 1,586.98 +.16%
  • Euro/Yen Carry Return Index 124.31 -1.02%
  • Yield Curve 115.0 unch.
  • 10-Year US Treasury Yield 2.40% unch.
  • Federal Reserve's Balance Sheet $4.431 Trillion -.2%
  • U.S. Sovereign Debt Credit Default Swap 25.50 +1.17%
  • Illinois Municipal Debt Credit Default Swap 395.0 -.06%
  • Western Europe Sovereign Debt Credit Default Swap Index 12.46 +1.26%
  • Asia Pacific Sovereign Debt Credit Default Swap Index 21.16 +.62%
  • Emerging Markets Sovereign Debt CDS Index 5.476 +8.95%
  • Israel Sovereign Debt Credit Default Swap 70.08 -1.45%
  • Iraq Sovereign Debt Credit Default Swap 520.32 -.97%
  • Russia Sovereign Debt Credit Default Swap 166.23 -3.52%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.47 +.19%
  • 10-Year TIPS Spread 1.97% -2.0 basis points
  • TED Spread 39.0 unch.
  • 2-Year Swap Spread 36.0 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.5 -1.0 basis point
  • N. America Investment Grade Credit Default Swap Index 66.12 -1.67%
  • America Energy Sector High-Yield Credit Default Swap Index 364.0 -1.02%
  • European Financial Sector Credit Default Swap Index 88.66 -.8%
  • Emerging Markets Credit Default Swap Index 213.57 +.1%
  • CMBS AAA Super Senior 10-Year Treasury Spread to Swaps 143.50 +1.0 basis point
  • M1 Money Supply $3.442 Trillion -.29%
  • Commercial Paper Outstanding 993.90 +1.90%
  • 4-Week Moving Average of Jobless Claims 254,250 +14,250
  • Continuing Claims Unemployment Rate 1.5% +10.0 basis points
  • Average 30-Year Mortgage Rate 4.14% -9.0 basis points
  • Weekly Mortgage Applications 403.60 -.79%
  • Bloomberg Consumer Comfort 49.7 -1.6 points
  • Weekly Retail Sales +1.0% -20.0 basis points
  • Nationwide Gas $2.31/gallon +.02/gallon
  • Baltic Dry Index 1,324.0 +6.77%
  • China (Export) Containerized Freight Index 778.83 -.09%
  • Oil Tanker Rate(Arabian Gulf to U.S. Gulf Coast) 25.0 unch.
  • Rail Freight Carloads 265,574 +6.74%
Best Performing Style
  •  Small-Cap Value +2.8%
Worst Performing Style
  •  Large-Cap Value +1.1%
Leading Sectors
  • Coal +6.5%
  • Education +4.5%
  • Oil Service +4.2%
  • Gaming +3.5%
  • Alt Energy +3.1%
Lagging Sectors
  • Oil Tankers -.3% 
  • Foods -.3%
  • Utilities -.9%
  • Networking -1.1%
  • Hospitals -2.6%
Weekly High-Volume Stock Gainers (18)
  • SYX, OMER, EXAR, VRTX, AXIM, CAB, GNBC, TPIC, TRNC, SONC, EVH, VRNT, DRI, PENN, XBKS, CSC, PVTB and JBSS
Weekly High-Volume Stock Losers (6)
  • USCR, GIII, FLT, FDS, FINL and SAIC
Weekly Charts
ETFs
Stocks
*5-Day Change

Stocks Slightly Lower into Final Hour on Less Economic Optimism, Yen Strength, Profit-Taking, Healthcare/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.53 +8.58%
  • Euro/Yen Carry Return Index 124.14 -.49%
  • Emerging Markets Currency Volatility(VXY) 9.02 +.22%
  • S&P 500 Implied Correlation 44.08 +1.29%
  • ISE Sentiment Index 98.0 +18.1%
  • Total Put/Call 1.22 +34.1%
  • NYSE Arms 1.22 -4.06%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.39 -1.31%
  • America Energy Sector High-Yield CDS Index 364.0 -1.03%
  • European Financial Sector CDS Index 88.71 +.65%
  • Western Europe Sovereign Debt CDS Index 12.46 +.85%
  • Asia Pacific Sovereign Debt CDS Index 21.15 +.21%
  • Emerging Market CDS Index 213.89 +1.96%
  • iBoxx Offshore RMB China Corporate High Yield Index 136.47 -.03%
  • 2-Year Swap Spread 36.0 +.75 basis point
  • TED Spread 39.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.5 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.12 +.07%
  • 3-Month T-Bill Yield .76% -1.0 basis point
  • Yield Curve 114.0 unch.
  • China Import Iron Ore Spot $80.39/Metric Tonne -1.7%
  • Citi US Economic Surprise Index 48.0 -3.6 points
  • Citi Eurozone Economic Surprise Index 54.10 -9.5 points
  • Citi Emerging Markets Economic Surprise Index 34.40 -2.1 points
  • 10-Year TIPS Spread 1.97 -1.0 basis point
  • 57.5% chance of Fed rate hike at June 14 meeting, 62.9% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +96 open in Japan 
  • China A50 Futures: Indicating +50 open in China
  • DAX Futures: Indicating +35 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long