Monday, April 18, 2016

Stocks Reversing Higher into Final Hour on Less European/Emerging Markets/US High-Yield Debt Angst, Oil Bounce Off the Lows, Short-Covering, Energy/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.3 -2.35%
  • Euro/Yen Carry Return Index 128.63 +.31%
  • Emerging Markets Currency Volatility(VXY) 11.1 -2.63%
  • S&P 500 Implied Correlation 54.48 -7.2%
  • ISE Sentiment Index 90.0 +11.11%
  • Total Put/Call 1.02 +29.11%
  • NYSE Arms .97 -17.13% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.85 -2.94%
  • America Energy Sector High-Yield CDS Index 1,243.0 -1.13%
  • European Financial Sector CDS Index 86.68 -3.26%
  • Western Europe Sovereign Debt CDS Index 27.41 +1.74%
  • Asia Pacific Sovereign Debt CDS Index 57.57 +1.21%
  • Emerging Market CDS Index 279.93 -3.76%
  • iBoxx Offshore RMB China Corporate High Yield Index 127.55 +.15%
  • 2-Year Swap Spread 12.25 unch.
  • TED Spread 41.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.73 +.26%
  • 3-Month T-Bill Yield .20% -2.0 basis points
  • Yield Curve 103.0 +1.09 basis point
  • China Import Iron Ore Spot $60.36/Metric Tonne +3.57%
  • Citi US Economic Surprise Index -9.30 +2.9 points
  • Citi Eurozone Economic Surprise Index -21.60 +3.7 points
  • Citi Emerging Markets Economic Surprise Index 18.9 unch.
  • 10-Year TIPS Spread 1.58% +2.0 basis points
  • 13.7% chance of Fed rate hike at June 15 meeting, 25.6% chance at July 27 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +424 open in Japan 
  • China A50 Futures: Indicating +67 open in China
  • DAX Futures: Indicating +41 open in Germany
Portfolio: 
  • Higher: On gains in my retail/tech/medical/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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