Thursday, July 28, 2016

Stocks Reversing Slightly Higher into Final Hour on Central Bank Hopes, Earnings Optimism, Short-Covering, Gaming/Road & Rail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.64 -1.48%
  • Euro/Yen Carry Return Index 121.92 +.09%
  • Emerging Markets Currency Volatility(VXY) 9.76 -.91%
  • S&P 500 Implied Correlation 49.11 -1.01%
  • ISE Sentiment Index 89.0 -4.3%
  • Total Put/Call .95 +4.4%
  • NYSE Arms 1.20 -10.15
Credit Investor Angst:
  • North American Investment Grade CDS Index 73.99 +.78%
  • America Energy Sector High-Yield CDS Index 777.0 +1.65%
  • European Financial Sector CDS Index 95.43 +.71%
  • Western Europe Sovereign Debt CDS Index 25.72 +.19%
  • Asia Pacific Sovereign Debt CDS Index 48.78 -.63%
  • Emerging Market CDS Index 265.06 +1.81%
  • iBoxx Offshore RMB China Corporate High Yield Index 131.20 +.03%
  • 2-Year Swap Spread 21.27 -.5 basis point
  • TED Spread 45.0 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -52.5 -2.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.93 +.07%
  • 3-Month T-Bill Yield .23% -5.0 basis points
  • Yield Curve 79.0 unch.
  • China Import Iron Ore Spot $60.70/Metric Tonne +3.53%
  • Citi US Economic Surprise Index 36.50 -1.7 points
  • Citi Eurozone Economic Surprise Index 25.5 +9.4 points
  • Citi Emerging Markets Economic Surprise Index -7.70 -.1 point
  • 10-Year TIPS Spread 1.52% +2.0 basis points
  • 27.6% chance of Fed rate hike at Nov. 2 meeting, 44.9% chance at Dec. 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +174 open in Japan 
  • China A50 Futures: Indicating +15 open in China
  • DAX Futures: Indicating +55 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/tech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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