Wednesday, July 06, 2016

Stocks Reversing Higher into Final Hour on Less European/Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Short-Covering, Biotech/Metals & Mining Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.45 -.83%
  • Euro/Yen Carry Return Index 117.62 -.06%
  • Emerging Markets Currency Volatility(VXY) 10.29 +1.18%
  • S&P 500 Implied Correlation 53.46 -.04%
  • ISE Sentiment Index 83.0 +50.91%
  • Total Put/Call 1.03 -16.26%
  • NYSE Arms .89 -30.74
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.51 -1.90%
  • America Energy Sector High-Yield CDS Index 786.0 +3.76%
  • European Financial Sector CDS Index 116.42 +1.23%
  • Western Europe Sovereign Debt CDS Index 32.08 +.91%
  • Asia Pacific Sovereign Debt CDS Index 54.59 +2.01%
  • Emerging Market CDS Index 270.22 -.99%
  • iBoxx Offshore RMB China Corporate High Yield Index 130.26 -.10%
  • 2-Year Swap Spread 16.75 -.5 basis point
  • TED Spread 40.25 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -43.75 -3.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.94 -.06%
  • 3-Month T-Bill Yield .27% +3.0 basis points
  • Yield Curve 80.0 -1.0 basis point
  • China Import Iron Ore Spot $55.93/Metric Tonne unch.
  • Citi US Economic Surprise Index -7.1 +6.3 points
  • Citi Eurozone Economic Surprise Index 14.2 -1.7 points
  • Citi Emerging Markets Economic Surprise Index -14.20 -.3 point
  • 10-Year TIPS Spread 1.47% +5.0 basis points
  • 2.0% chance of Fed rate hike at Sept. 21 meeting, 2.0% chance at Nov. 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +19 open in Japan 
  • China A50 Futures: Indicating -116 open in China
  • DAX Futures: Indicating +49 open in Germany
Portfolio: 
  • Higher: On gains in my retail/tech/biotech/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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