Monday, July 11, 2016

Stocks Rising into Afternoon on Less European/Emerging Markets/US High-Yield Debt Angst, Yen Weakness, Short-Covering, Financial/Retail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Light
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.%
  • Euro/Yen Carry Return Index 118.77 +2.22%
  • Emerging Markets Currency Volatility(VXY) 9.99 -.79%
  • S&P 500 Implied Correlation 49.28 -1.40%
  • ISE Sentiment Index 134.0 +76.32%
  • Total Put/Call .74 +1.37%
  • NYSE Arms .83 +101.0
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.06 -1.23%
  • America Energy Sector High-Yield CDS Index 748.0 -3.01%
  • European Financial Sector CDS Index 105.25 -.59%
  • Western Europe Sovereign Debt CDS Index 31.73 -.69%
  • Asia Pacific Sovereign Debt CDS Index 51.0 -3.61%
  • Emerging Market CDS Index 254.81 -1.16%
  • iBoxx Offshore RMB China Corporate High Yield Index 130.55 +.24%
  • 2-Year Swap Spread 16.25 +.5 basis point
  • TED Spread 39.75 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -43.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.42 +.11%
  • 3-Month T-Bill Yield .28% unch.
  • Yield Curve 77.0 +1.0 basis point
  • China Import Iron Ore Spot $55.68/Metric Tonne +.92%
  • Citi US Economic Surprise Index 9.6 +4.6 points
  • Citi Eurozone Economic Surprise Index 6.3 -1.1 points
  • Citi Emerging Markets Economic Surprise Index -16.40 -1.8 point
  • 10-Year TIPS Spread 1.46% unch.
  • 13.6% chance of Fed rate hike at Sept. 21 meeting, 13.3% chance at Nov. 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +497 open in Japan 
  • China A50 Futures: Indicating -31 open in China
  • DAX Futures: Indicating -18 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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