Wednesday, September 16, 2015

Stocks Rising into Final Hour on Central Bank Hopes, Oil Bounce, Short-Covering, Commodity/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.23 -1.38%
  • Euro/Yen Carry Return Index 142.11 +.26%
  • Emerging Markets Currency Volatility(VXY) 11.87 -3.96%
  • S&P 500 Implied Correlation 62.81 -.13%
  • ISE Sentiment Index 82.0 -40.15%
  • Total Put/Call 1.25 +8.70%
  • NYSE Arms .44 -13.36% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.80 -1.24%
  • America Energy Sector High-Yield CDS Index 1,916.0 -.23%
  • European Financial Sector CDS Index 79.31 -5.38%
  • Western Europe Sovereign Debt CDS Index 21.03 -3.0%
  • Asia Pacific Sovereign Debt CDS Index 80.68 -2.43%
  • Emerging Market CDS Index 336.22 -2.42%
  • iBoxx Offshore RMB China Corporates High Yield Index 118.69 +.14%
  • 2-Year Swap Spread 10.75 -.75 basis point
  • TED Spread 28.0 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.50 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .05% -1.0 basis point
  • Yield Curve 149.0 +1.0 basis point
  • China Import Iron Ore Spot $57.21/Metric Tonne -.12%
  • Citi US Economic Surprise Index -23.5 +1.2 points
  • Citi Eurozone Economic Surprise Index 15.9 -4.5 points
  • Citi Emerging Markets Economic Surprise Index -23.0 +1.0 point
  • 10-Year TIPS Spread 1.57 +1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 3.52 -.32
Overseas Futures:
  • Nikkei 225 Futures: Indicating +264 open in Japan 
  • China A50 Futures: Indicating -105 open in China
  • DAX Futures: Indicating +23 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail/medical/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges 
  • Market Exposure: Moved to 75% Net Long

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