Monday, October 10, 2016

Stocks Rising into Afternoon on Less US Election Uncertainty, Oil Bounce, Yen Weakness, Biotech/Airline Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.46 -.15%
  • Euro/Yen Carry Return Index 120.72 +.26%
  • Emerging Markets Currency Volatility(VXY) 10.18 -.20%
  • S&P 500 Implied Correlation 40.64 -5.18%
  • ISE Sentiment Index 166.0 +159.38%
  • Total Put/Call .94 -20.34%
  • NYSE Arms .90 -3.6
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.37 +.13%
  • America Energy Sector High-Yield CDS Index 610.0 -.72%
  • European Financial Sector CDS Index 98.46 -.61%
  • Western Europe Sovereign Debt CDS Index 21.09 -3.43%
  • Asia Pacific Sovereign Debt CDS Index 32.96 +.23%
  • Emerging Market CDS Index 235.29 -.14%
  • iBoxx Offshore RMB China Corporate High Yield Index 132.46 +.17%
  • 2-Year Swap Spread 23.0 unch.
  • TED Spread 56.0 +2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -41.25 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.77 +.06%
  • 3-Month T-Bill Yield .32% unch. 
  • Yield Curve 89.0 unch.
  • China Import Iron Ore Spot $56.65/Metric Tonne +1.41%
  • Citi US Economic Surprise Index -2.90 -.9 point
  • Citi Eurozone Economic Surprise Index 21.2 +8.0 points
  • Citi Emerging Markets Economic Surprise Index -11.90 -.3 point
  • 10-Year TIPS Spread 1.64% unch.
  • 66.7% chance of Fed rate hike at Dec. 14 meeting, 70.1% chance at Feb. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +155 open in Japan 
  • China A50 Futures: Indicating +59 open in China
  • DAX Futures: Indicating +4 open in Germany
Portfolio: 
  • Higher: On gains in my retail/medical/biotech/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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