Friday, January 29, 2016

Stocks Surging into Afternoon on Central Bank Hopes, Yen Plunge, Short-Covering, Tech/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.28 -9.68%
  • Euro/Yen Carry Return Index 137.10 +.92%
  • Emerging Markets Currency Volatility(VXY) 12.06 +1.43%
  • S&P 500 Implied Correlation 61.0 -2.99%
  • ISE Sentiment Index 126.0 +9.57%
  • Total Put/Call .84 -3.45%
  • NYSE Arms .83 -44.52% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 101.06 -2.55%
  • America Energy Sector High-Yield CDS Index 1,925.0 +2.09%
  • European Financial Sector CDS Index 91.62 -.68%
  • Western Europe Sovereign Debt CDS Index 19.68 +3.85%
  • Asia Pacific Sovereign Debt CDS Index 76.82 +5.07%
  • Emerging Market CDS Index 370.54 +.11%
  • iBoxx Offshore RMB China Corporate High Yield Index 122.42 +.22%
  • 2-Year Swap Spread 6.75 -.25 basis point
  • TED Spread 29.75 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.5 -1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.14 +.44%
  • 3-Month T-Bill Yield .31% -1.0 basis points
  • Yield Curve 115.0 -2.0 basis points
  • China Import Iron Ore Spot $41.72/Metric Tonne -.48%
  • Citi US Economic Surprise Index -47.1 +.2 point
  • Citi Eurozone Economic Surprise Index -25.10 +1.4 points
  • Citi Emerging Markets Economic Surprise Index -3.8 +2.8 points
  • 10-Year TIPS Spread 1.42% +1.0 basis point
  • 19.4% chance of Fed rate hike at April 27 meeting, 30.6% chance at June 15 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +298 open in Japan 
  • China A50 Futures: Indicating -50 open in China
  • DAX Futures: Indicating +6 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 50% Net Long

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