Tuesday, March 29, 2016

Stocks Surging into Final Hour on Central Bank Hopes, Less European/Emerging Markets/US High-Yield Debt Angst, Short-Covering, Homebuilding/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 14.32 -6.04%
  • Euro/Yen Carry Return Index 133.16 +.31%
  • Emerging Markets Currency Volatility(VXY) 11.64 -1.36%
  • S&P 500 Implied Correlation 54.69 -1.78%
  • ISE Sentiment Index 83.0 -2.0%
  • Total Put/Call 1.0 +21.95%
  • NYSE Arms 1.29 +5.44
Credit Investor Angst:
  • North American Investment Grade CDS Index 83.30 +.4%
  • America Energy Sector High-Yield CDS Index 1,431.0 -4.76%
  • European Financial Sector CDS Index 95.06 -.84%
  • Western Europe Sovereign Debt CDS Index 26.02 -3.93%
  • Asia Pacific Sovereign Debt CDS Index 57.30 -2.69%
  • Emerging Market CDS Index 291.59 -.69%
  • iBoxx Offshore RMB China Corporate High Yield Index 126.43 -.06%
  • 2-Year Swap Spread 11.0 +1.75 basis points
  • TED Spread 34.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.74 +.42%
  • 3-Month T-Bill Yield .23% -4.0 basis points
  • Yield Curve 102.0 +2.0 basis points
  • China Import Iron Ore Spot $55.11/Metric Tonne -1.17%
  • Citi US Economic Surprise Index -3.80 +1.1 points
  • Citi Eurozone Economic Surprise Index -31.50 +1.4 points
  • Citi Emerging Markets Economic Surprise Index -12.10 -.6 point
  • 10-Year TIPS Spread 1.62% +6.0 basis points
  • 27.5% chance of Fed rate hike at June 15 meeting, 39.1% chance at July 27 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -8 open in Japan 
  • China A50 Futures: Indicating +71 open in China
  • DAX Futures: Indicating +70 open in Germany
Portfolio: 
  • Higher: On gains in my medical/retail/biotech/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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