Tuesday, November 28, 2017

Stocks Surging into Final Hour on Tax Reform Hopes, Economic Optimism, Yen Weakness, Financial/Retail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.2 +3.0%
  • Euro/Yen Carry Return Index 137.62 -.1%
  • Emerging Markets Currency Volatility(VXY) 7.82 +.13%
  • S&P 500 Implied Correlation 16.28 unch.
  • ISE Sentiment Index 125.0 +47.1%
  • Total Put/Call .65 -8.45%
  • NYSE Arms .61 -40.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.58 -1.42%
  • America Energy Sector High-Yield CDS Index 374.0 +.97%
  • European Financial Sector CDS Index 47.32 -.6%
  • Western Europe Sovereign Debt CDS Index 3.66 -3.94%
  • Asia Pacific Sovereign Debt CDS Index 13.75 -3.65%
  • Emerging Market CDS Index 179.47 -.51%
  • iBoxx Offshore RMB China Corporate High Yield Index 145.54 -.07%
  • 2-Year Swap Spread 17.25 -.5 basis point
  • TED Spread 19.0 -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -50.5 -4.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.36 -.07%
  • 3-Month T-Bill Yield 1.7% +2.0 basis points
  • Yield Curve 58.0 -.5 basis point
  • China Import Iron Ore Spot $67.76/Metric Tonne +.73%
  • Citi US Economic Surprise Index 58.10 +.7 point
  • Citi Eurozone Economic Surprise Index 86.30 -.2 basis point
  • Citi Emerging Markets Economic Surprise Index 10.70 -.4 point
  • 10-Year TIPS Spread 1.86 unch.
  • 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +164 open in Japan 
  • China A50 Futures: Indicating +63 open in China
  • DAX Futures: Indicating +67 open in Germany
Portfolio: 
  • Higher: On gains in my tech/retail/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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