Wednesday, August 17, 2016

Stocks Reversing Slightly Higher into Final Hour on Central Bank Hopes, Oil Bounce, Technical Buying, Utility/Road & Rail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.44 -1.58%
  • Euro/Yen Carry Return Index 118.21 +.04%
  • Emerging Markets Currency Volatility(VXY) 9.93 +1.02%
  • S&P 500 Implied Correlation 46.31 -.54%
  • ISE Sentiment Index 53.0 -23.2%
  • Total Put/Call .91 -11.65%
  • NYSE Arms 1.22 +32.6
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.54 +.51%
  • America Energy Sector High-Yield CDS Index 694.0 -1.33%
  • European Financial Sector CDS Index 89.85 +5.0%
  • Western Europe Sovereign Debt CDS Index 24.27 +1.57%
  • Asia Pacific Sovereign Debt CDS Index 44.64 +.79%
  • Emerging Market CDS Index 240.13 -.02%
  • iBoxx Offshore RMB China Corporate High Yield Index 131.42 -.29%
  • 2-Year Swap Spread 25.25 +1.75 basis points
  • TED Spread 53.0 -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -39.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.63 -.35%
  • 3-Month T-Bill Yield .22% +2.0 basis points
  • Yield Curve 82.0 -1.0 basis point
  • China Import Iron Ore Spot $60.87/Metric Tonne -1.87%
  • Citi US Economic Surprise Index 5.4 -.6 point
  • Citi Eurozone Economic Surprise Index 27.5 -.1 point
  • Citi Emerging Markets Economic Surprise Index -1.1 -.5 point
  • 10-Year TIPS Spread 1.48% +3.0 basis points
  • 23.7% chance of Fed rate hike at Nov. 2 meeting, 48.0% chance at Dec. 14 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -100 open in Japan 
  • China A50 Futures: Indicating -41 open in China
  • DAX Futures: Indicating +62 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my index hedges and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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