Friday, May 27, 2016

Stocks Rising into Afternoon on Central Bank Hopes, Yen Weakness, Technical Buying, Gaming/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.34 -.82%
  • Euro/Yen Carry Return Index 127.84 -.42%
  • Emerging Markets Currency Volatility(VXY) 10.44 unch.
  • S&P 500 Implied Correlation 52.62 -1.11%
  • ISE Sentiment Index 77.0 +14.93%
  • Total Put/Call .89 -2.2%
  • NYSE Arms 1.29 -.47
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.65 -.48%
  • America Energy Sector High-Yield CDS Index 887.0 -2.80%
  • European Financial Sector CDS Index 88.50 -.70%
  • Western Europe Sovereign Debt CDS Index 25.75 -.04%
  • Asia Pacific Sovereign Debt CDS Index 52.70 -.57%
  • Emerging Market CDS Index 298.69 -.44%
  • iBoxx Offshore RMB China Corporate High Yield Index 128.65 +.03%
  • 2-Year Swap Spread 13.75 unch.
  • TED Spread 37.75 +4.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -29.5 -2.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.79 -.27%
  • 3-Month T-Bill Yield .30% +2.0 basis points
  • Yield Curve 94.0 -2.0 basis points
  • China Import Iron Ore Spot $51.15/Metric Tonne +3.38%
  • Citi US Economic Surprise Index -22.80 -2.4 points
  • Citi Eurozone Economic Surprise Index 5.30 -2.7 points
  • Citi Emerging Markets Economic Surprise Index 0.0 +.7 point
  • 10-Year TIPS Spread 1.62% unch.
  • 52.4% chance of Fed rate hike at July 27 meeting, 61.0% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +25 open in Japan 
  • China A50 Futures: Indicating +49 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Higher: On gains in my tech/retail/medical/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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