Wednesday, May 25, 2016

Stocks Rising into Final Hour on Less European/Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Short-Covering, Commodity/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.77 -4.4%
  • Euro/Yen Carry Return Index 128.38 +.27%
  • Emerging Markets Currency Volatility(VXY) 10.65 -.36%
  • S&P 500 Implied Correlation 53.15 -1.51%
  • ISE Sentiment Index 107.0 +33.75%
  • Total Put/Call .94 -6.93%
  • NYSE Arms .59 -47.76% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.26 -2.98%
  • America Energy Sector High-Yield CDS Index 928.0 -3.73%
  • European Financial Sector CDS Index 89.50 -3.94%
  • Western Europe Sovereign Debt CDS Index 25.65 -1.82%
  • Asia Pacific Sovereign Debt CDS Index 52.78 -.96%
  • Emerging Market CDS Index 302.0 -.91%
  • iBoxx Offshore RMB China Corporate High Yield Index 128.66 +.19%
  • 2-Year Swap Spread 12.75 -1.5 basis points
  • TED Spread 31.0 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -27.75 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 70.81 +.29%
  • 3-Month T-Bill Yield .32% -2.0 basis points
  • Yield Curve 96.0 +1.0 basis point
  • China Import Iron Ore Spot $50.41/Metric Tonne -1.85%
  • Citi US Economic Surprise Index -23.30 -1.3 points
  • Citi Eurozone Economic Surprise Index 7.3 +4.7 points
  • Citi Emerging Markets Economic Surprise Index -2.6 -.8 point
  • 10-Year TIPS Spread 1.62% +2.0 basis points
  • 53.8% chance of Fed rate hike at July 27 meeting, 63.0% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +173 open in Japan 
  • China A50 Futures: Indicating +20 open in China
  • DAX Futures: Indicating -10 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/retail/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: