Wednesday, December 27, 2017

Stocks Slightly Higher into Afternoon on Lower Long-Term Rates, Technical Buying, Seasonality, Road & Rail/Alt Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.17 -.78%
  • Euro/Yen Carry Return Index 140.49 +.38%
  • Emerging Markets Currency Volatility(VXY) 7.83 -.89%
  • S&P 500 Implied Correlation 38.59 +2.3%
  • ISE Sentiment Index 106.0 +73.8%
  • Total Put/Call .88 -12.0%
  • NYSE Arms 1.54 +124.71%
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.88 -.43%
  • America Energy Sector High-Yield CDS Index 374.0 +.68%
  • European Financial Sector CDS Index 43.70 -.65%
  • Western Europe Sovereign Debt CDS Index 3.96 n/a
  • Asia Pacific Sovereign Debt CDS Index 13.24 -1.56%
  • Emerging Market CDS Index 120.16 -.52%
  • iBoxx Offshore RMB China Corporate High Yield Index 145.71 -.18%
  • 2-Year Swap Spread 17.25 -2.25 basis points
  • TED Spread 22.5 +13.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -59.25 +15.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.96 +.12%
  • 3-Month T-Bill Yield 1.44% +10.0 basis points
  • Yield Curve 52.25 -4.5 basis points
  • China Iron Ore Spot 486.50 CNY/100 Metric Tonnes -.51%
  • Citi US Economic Surprise Index 78.90 -1.6 points
  • Citi Eurozone Economic Surprise Index 50.20 +.2 basis point
  • Citi Emerging Markets Economic Surprise Index -2.30 -.3 basis point
  • 10-Year TIPS Spread 1.95 unch.
  • 70.8% chance of Fed rate hike at March 21 meeting, 72.6% chance at May 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +40 open in Japan 
  • China A50 Futures: Indicating +13 open in China
  • DAX Futures: Indicating -17 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

No comments: