Friday, September 15, 2017

Stocks Reversing Slightly Higher into Final Hour on Less Emerging Markets Debt Angst, Oil Gain, Yen Weakness, Tech/Road & Rail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.25 -1.82%
  • Euro/Yen Carry Return Index 138.05 +.76%
  • Emerging Markets Currency Volatility(VXY) 7.70 -.26%
  • S&P 500 Implied Correlation 25.7 +14.3%
  • ISE Sentiment Index 76.0 -34.5%
  • Total Put/Call 1.08 +35.0%
  • NYSE Arms 1.19 +24.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.35 -.43%
  • America Energy Sector High-Yield CDS Index 419.0 +.22%
  • European Financial Sector CDS Index 48.41 -1.59%
  • Western Europe Sovereign Debt CDS Index 4.95 +.3%
  • Asia Pacific Sovereign Debt CDS Index 18.31 -.62%
  • Emerging Market CDS Index 168.81 -2.22%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.73 -.10%
  • 2-Year Swap Spread 25.25 +.5 basis point
  • TED Spread 29.0 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 74.77 unch.
  • 3-Month T-Bill Yield 1.03% -2.0 basis points
  • Yield Curve 82.0 -1.0 basis point
  • China Import Iron Ore Spot $72.13/Metric Tonne -2.51%
  • Citi US Economic Surprise Index -19.0 -13.4 points
  • Citi Eurozone Economic Surprise Index 18.40 -.2 point
  • Citi Emerging Markets Economic Surprise Index 15.90 +1.8 basis points
  • 10-Year TIPS Spread 1.86 +1.0 basis point
  • 15.6% chance of Fed rate hike at Nov. 1 meeting, 52.6% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -35 open in Japan 
  • China A50 Futures: Indicating +32 open in China
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Higher: On gains in my retail/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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