Friday, July 07, 2017

Stocks Surging into Final Hour on Economic Optimism, Yen Weakness, Technical Buying, Tech/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 11.33 -9.7%
  • Euro/Yen Carry Return Index 135.69 +.54%
  • Emerging Markets Currency Volatility(VXY) 7.88 -.88%
  • S&P 500 Implied Correlation 35.70 -5.82%
  • ISE Sentiment Index 78.0 -9.3%
  • Total Put/Call .88 -20.72%
  • NYSE Arms 1.78 +19.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.0 +1.77%
  • America Energy Sector High-Yield CDS Index 477.0 +1.61%
  • European Financial Sector CDS Index 55.23 +3.32%
  • Western Europe Sovereign Debt CDS Index 6.02 -2.82%
  • Asia Pacific Sovereign Debt CDS Index 22.99 +1.95%
  • Emerging Market CDS Index 205.96 -1.82%
  • iBoxx Offshore RMB China Corporate High Yield Index 139.89 +.07%
  • 2-Year Swap Spread 24.5 -.25 basis point
  • TED Spread 27.75 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.25 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.43 +.10%
  • 3-Month T-Bill Yield 1.03% unch.
  • Yield Curve 99.0 +2.0 basis points
  • China Import Iron Ore Spot $62.80/Metric Tonne -3.31%
  • Citi US Economic Surprise Index -58.50 +4.8 points
  • Citi Eurozone Economic Surprise Index 40.10 +3.8 points
  • Citi Emerging Markets Economic Surprise Index 18.30 +2.7 points
  • 10-Year TIPS Spread 1.75 -2.0 basis points
  • 27.8% chance of Fed rate hike at Sept. 20 meeting, 29.3% chance at Nov. 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +141 open in Japan 
  • China A50 Futures: Indicating -52 open in China
  • DAX Futures: Indicating -27 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/tech/medical/retail sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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