Monday, March 21, 2016

Stocks Slightly Higher into Final Hour on Less European/Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Yen Weakness, Biotech/Airline Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.92 -.71%
  • Euro/Yen Carry Return Index 131.5 +.11%
  • Emerging Markets Currency Volatility(VXY) 11.42 -.35%
  • S&P 500 Implied Correlation 58.98 -.25%
  • ISE Sentiment Index 97.0 -40.8%
  • Total Put/Call .95 +21.79%
  • NYSE Arms .93 -17.0% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.15 -9.03% (new series)
  • America Energy Sector High-Yield CDS Index 1,548.0 -6.11%
  • European Financial Sector CDS Index 86.88 +8.26%
  • Western Europe Sovereign Debt CDS Index 25.93 -7.82%
  • Asia Pacific Sovereign Debt CDS Index 56.91 -5.76%
  • Emerging Market CDS Index 280.42 -6.42%
  • iBoxx Offshore RMB China Corporate High Yield Index 126.48 +.10%
  • 2-Year Swap Spread 8.5 +.25 basis point
  • TED Spread 33.50 -2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.0 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.69 +.04%
  • 3-Month T-Bill Yield .30% +2.0 basis points
  • Yield Curve 105.0 +1.0 basis point
  • China Import Iron Ore Spot $58.82/Metric Tonne +2.30%
  • Citi US Economic Surprise Index -2.90 -2.7 points
  • Citi Eurozone Economic Surprise Index -44.90 +1.0 point
  • Citi Emerging Markets Economic Surprise Index -18.80 -.1 point
  • 10-Year TIPS Spread 1.65% +2.0 basis points
  • 42.4% chance of Fed rate hike at June 15 meeting, 50.5% chance at July 27 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +90 open in Japan 
  • China A50 Futures: Indicating +55 open in China
  • DAX Futures: Indicating +46 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/biotech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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