Tuesday, September 26, 2017

Stocks Higher into Final Hour on Tax Reform Hopes, Yen Weakness, Bargain-Hunting, Gaming/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 10.14 -.69%
  • Euro/Yen Carry Return Index 137.98 -.05%
  • Emerging Markets Currency Volatility(VXY) 8.09 +3.3%
  • S&P 500 Implied Correlation 23.05 +4.25%
  • ISE Sentiment Index 108.0 +20.0%
  • Total Put/Call .98 +40.0%
  • NYSE Arms 1.19 +23.65%
Credit Investor Angst:
  • North American Investment Grade CDS Index 58.97 -.97%
  • America Energy Sector High-Yield CDS Index 425.0 -1.44%
  • European Financial Sector CDS Index 60.44 +.75%
  • Western Europe Sovereign Debt CDS Index 5.11 unch.
  • Asia Pacific Sovereign Debt CDS Index 16.50 +.21%
  • Emerging Market CDS Index 190.10 -.40%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.95 n/a
  • 2-Year Swap Spread 26.75 +1.0 basis point
  • TED Spread 29.0 -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -32.25 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.92 -.34%
  • 3-Month T-Bill Yield 1.05% +3.0 basis points
  • Yield Curve 80.0 +1.0 basis point
  • China Import Iron Ore Spot $64.95/Metric Tonne +3.0%
  • Citi US Economic Surprise Index -13.10 -4.4 points
  • Citi Eurozone Economic Surprise Index 37.70 -3.1 points
  • Citi Emerging Markets Economic Surprise Index 14.60 -.6 basis point
  • 10-Year TIPS Spread 1.85 unch.
  • 71.6% chance of Fed rate hike at Dec. 13 meeting, 72.7% chance at Jan. 31 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -55 open in Japan 
  • China A50 Futures: Indicating -4 open in China
  • DAX Futures: Indicating -4 open in Germany
Portfolio: 
  • Higher: On gains in my medical/retail/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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