Wednesday, September 21, 2016

Stocks Surging into Final Hour on Central Bank Hopes, Oil Bounce, Earnings Optimism, Metals & Mining/Energy 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) 14.27 -10.36%
  • Euro/Yen Carry Return Index 117.41 -.90%
  • Emerging Markets Currency Volatility(VXY) 10.64 -.37%
  • S&P 500 Implied Correlation 50.80 -6.11%
  • ISE Sentiment Index 65.0 +16.07%
  • Total Put/Call .99 +2.06%
  • NYSE Arms .72 -41.35
Credit Investor Angst:
  • North American Investment Grade CDS Index 79.62 -2.60%
  • America Energy Sector High-Yield CDS Index 703.0 +4.55%
  • European Financial Sector CDS Index 100.01 -2.61%
  • Western Europe Sovereign Debt CDS Index 23.49 +7.24%
  • Asia Pacific Sovereign Debt CDS Index 31.25 -1.65%
  • Emerging Market CDS Index 233.25 -3.98%
  • iBoxx Offshore RMB China Corporate High Yield Index 131.83 +.13%
  • 2-Year Swap Spread 26.50 -.5 basis point
  • TED Spread 56.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -30.5 +2.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.83 +.64%
  • 3-Month T-Bill Yield .22% -7.0 basis points
  • Yield Curve 88.0 -3.0 basis points
  • China Import Iron Ore Spot $55.87/Metric Tonne +.18%
  • Citi US Economic Surprise Index -1.40 +.3 point
  • Citi Eurozone Economic Surprise Index -25.60 -.7 point
  • Citi Emerging Markets Economic Surprise Index -14.9 +.3 point
  • 10-Year TIPS Spread 1.53% +3.0 basis points
  • 61.2% chance of Fed rate hike at Dec. 14 meeting, 63.6% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -217 open in Japan 
  • China A50 Futures: Indicating -13 open in China
  • DAX Futures: Indicating +28 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/tech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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