Wednesday, April 20, 2016

Stocks Rising into Final Hour on Central Bank Hopes, Oil Reversal, Yen Weakness, Healthcare/Commodity Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Slightly Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.65 -4.46%
  • Euro/Yen Carry Return Index 129.69 +.06%
  • Emerging Markets Currency Volatility(VXY) 10.73 -4.59%
  • S&P 500 Implied Correlation 53.49 -3.35%
  • ISE Sentiment Index 72.0 -29.41%
  • Total Put/Call .87 +42.6%
  • NYSE Arms .54 -29.0
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.03 -4.91%
  • America Energy Sector High-Yield CDS Index 1,109.0 -.87%
  • European Financial Sector CDS Index 86.50 -1.14%
  • Western Europe Sovereign Debt CDS Index 27.32 +1.0%
  • Asia Pacific Sovereign Debt CDS Index 56.97 +1.31%
  • Emerging Market CDS Index 270.80 -.90%
  • iBoxx Offshore RMB China Corporate High Yield Index 127.36 -.07%
  • 2-Year Swap Spread 14.0 +.5 basis point
  • TED Spread 42.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.0 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.42 +.17%
  • 3-Month T-Bill Yield .22% +1.0 basis point
  • Yield Curve 104.0 +2.0 basis points
  • China Import Iron Ore Spot $64.77/Metric Tonne +3.05%
  • Citi US Economic Surprise Index -21.80 +.1 point
  • Citi Eurozone Economic Surprise Index -14.50 +3.3 points
  • Citi Emerging Markets Economic Surprise Index 15.3 -.3 point
  • 10-Year TIPS Spread 1.64% +2.0 basis points
  • 19.6% chance of Fed rate hike at June 15 meeting, 32.2% chance at July 27 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +424 open in Japan 
  • China A50 Futures: Indicating -14 open in China
  • DAX Futures: Indicating +64 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/retail/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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