Monday, September 21, 2015

Stocks Higher into Final Hour on China Bounce, Oil Gain, Bargain-Hunting, Tech/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.83 -6.51%
  • Euro/Yen Carry Return Index 140.92 -.51%
  • Emerging Markets Currency Volatility(VXY) 11.86 +.42%
  • S&P 500 Implied Correlation 65.29 +1.70%
  • ISE Sentiment Index 152.0 +181.48%
  • Total Put/Call 1.03 +8.85%
  • NYSE Arms 1.01 -62.09% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.46 +3.82% (new series)
  • America Energy Sector High-Yield CDS Index n/a
  • European Financial Sector CDS Index 84.84 +8.77% (new series)
  • Western Europe Sovereign Debt CDS Index 20.27 -.73%
  • Asia Pacific Sovereign Debt CDS Index 76.50 -2.34%
  • Emerging Market CDS Index 347.49 +2.79%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.42 +.25%
  • 2-Year Swap Spread 11.75 -1.0 basis point
  • TED Spread 33.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.0 -2.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield -.02% -1.0 basis point
  • Yield Curve 149.0 +3.0 basis points
  • China Import Iron Ore Spot $57.30/Metric Tonne -.68%
  • Citi US Economic Surprise Index -27.7 -.3 point
  • Citi Eurozone Economic Surprise Index 11.7 -2.8 points
  • Citi Emerging Markets Economic Surprise Index -22.6 +1.1 points
  • 10-Year TIPS Spread 1.56 unch.
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.54 +.5
Overseas Futures:
  • Nikkei 225 Futures: Indicating -35 open in Japan 
  • China A50 Futures: Indicating +6 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Lower: On losses in my biotech sector longs and index hedges
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, took profits in some biotech sector longs
  • Market Exposure: Moved to 50% Net Long

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