Monday, August 28, 2017

Stocks Slightly Higher into Final Hour on Tax Reform Hopes, Buyout Speculation, Short-Covering, Biotech/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.55 +2.38%
  • Euro/Yen Carry Return Index 136.28 +.26%
  • Emerging Markets Currency Volatility(VXY) 7.17 +.84%
  • S&P 500 Implied Correlation 35.49 +.28%
  • ISE Sentiment Index 132.0 +22.22%
  • Total Put/Call .93 -4.12%
  • NYSE Arms 1.30 +25.61%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.46 -.99%
  • America Energy Sector High-Yield CDS Index 477.0 +.31%
  • European Financial Sector CDS Index 54.87 -.69%
  • Western Europe Sovereign Debt CDS Index 5.88 -1.18%
  • Asia Pacific Sovereign Debt CDS Index 18.21 -7.28%
  • Emerging Market CDS Index 185.97 +.65%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.13 +.05%
  • 2-Year Swap Spread 21.75 -1.5 basis points
  • TED Spread 30.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.56 +.09%
  • 3-Month T-Bill Yield 1.02% unch.
  • Yield Curve 83.0 -1.0 basis point
  • China Import Iron Ore Spot $77.15/Metric Tonne -1.57%
  • Citi US Economic Surprise Index -30.90 +1.4 points
  • Citi Eurozone Economic Surprise Index 25.90 +6.7 points
  • Citi Emerging Markets Economic Surprise Index 19.70 +1.6 basis points
  • 10-Year TIPS Spread 1.76 unch.
  • 17.5% chance of Fed rate hike at Nov. 1 meeting, 38.8% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -2 open in Japan 
  • China A50 Futures: Indicating +46 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/biotech sector longs 
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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