Thursday, May 12, 2016

Stocks Slightly Higher into Final Hour on Less Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Yen Decline, Food/REIT Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.1 -4.0%
  • Euro/Yen Carry Return Index 129.67 +.17%
  • Emerging Markets Currency Volatility(VXY) 10.84 -.82%
  • S&P 500 Implied Correlation 53.05 -4.31%
  • ISE Sentiment Index 91.0 +18.18%
  • Total Put/Call 1.25 +32.98%
  • NYSE Arms 1.43 +43.73% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.90 -1.43%
  • America Energy Sector High-Yield CDS Index 948.0 -3.30%
  • European Financial Sector CDS Index 97.37 +2.47%
  • Western Europe Sovereign Debt CDS Index 25.87 +.79%
  • Asia Pacific Sovereign Debt CDS Index 53.03 -.30%
  • Emerging Market CDS Index 285.64 -1.26%
  • iBoxx Offshore RMB China Corporate High Yield Index 127.93 +.19%
  • 2-Year Swap Spread 13.0 -.75 basis point
  • TED Spread 37.50 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.5 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.11 -.13%
  • 3-Month T-Bill Yield .27% +2.0 basis points
  • Yield Curve 100.0 -1.0 basis point
  • China Import Iron Ore Spot $55.05/Metric Tonne -.94%
  • Citi US Economic Surprise Index -38.50 -3.9 points
  • Citi Eurozone Economic Surprise Index -9.9 -1.2 points
  • Citi Emerging Markets Economic Surprise Index 3.60 -4.8 points
  • 10-Year TIPS Spread 1.63% +1.0 basis point
  • 17.4% chance of Fed rate hike at July 27 meeting, 34.0% chance at September 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +47 open in Japan 
  • China A50 Futures: Indicating -73 open in China
  • DAX Futures: Indicating +57 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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