Friday, July 14, 2017

Stocks Rising into Final Hour on Lower Long-Term Rates, Earnings Optimism, Oil Gain, Tech/Commodity Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 9.66 -2.42%
  • Euro/Yen Carry Return Index 134.67 -.04%
  • Emerging Markets Currency Volatility(VXY) 7.59 -.78%
  • S&P 500 Implied Correlation 30.97 -7.5%
  • ISE Sentiment Index 91.0 +7.06%
  • Total Put/Call .83 -3.49%
  • NYSE Arms 1.13 +73.52%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.97 -2.0%
  • America Energy Sector High-Yield CDS Index 458.0 -1.80%
  • European Financial Sector CDS Index 51.80 +1.76%
  • Western Europe Sovereign Debt CDS Index 6.24 +1.96%
  • Asia Pacific Sovereign Debt CDS Index 21.72 -.16%
  • Emerging Market CDS Index 195.60 -.72%
  • iBoxx Offshore RMB China Corporate High Yield Index 140.13 +.06%
  • 2-Year Swap Spread 24.0 -1.0 basis point
  • TED Spread 27.25 +1.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.44 +.58%
  • 3-Month T-Bill Yield 1.03% unch.
  • Yield Curve 97.0 -1.0 basis point
  • China Import Iron Ore Spot $65.74/Metric Tonne -.26%
  • Citi US Economic Surprise Index -68.10 -13.4 points
  • Citi Eurozone Economic Surprise Index 36.30 -.9 point
  • Citi Emerging Markets Economic Surprise Index 11.40 -2.2 points
  • 10-Year TIPS Spread 1.77 -1.0 basis point
  • 20.8% chance of Fed rate hike at Sept. 20 meeting, 24.1% chance at Nov. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -58 open in Japan 
  • China A50 Futures: Indicating +22 open in China
  • DAX Futures: Indicating +15 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical sector longs 
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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