Monday, December 18, 2017

Stocks Surging into Final Hour on Tax Reform Hopes, Economic Optimism, Short-Covering, Retail/Commodity Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Heavy
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 9.33 -.96%
  • Euro/Yen Carry Return Index 138.19 +.21%
  • Emerging Markets Currency Volatility(VXY) 7.50 -1.19%
  • S&P 500 Implied Correlation 36.88 +.49%
  • ISE Sentiment Index 168.0 +97.7%
  • Total Put/Call .67 -31.6%
  • NYSE Arms .53 -16.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.64 -1.6%
  • America Energy Sector High-Yield CDS Index 379.0 -.04%
  • European Financial Sector CDS Index 46.03 -2.13%
  • Western Europe Sovereign Debt CDS Index 3.48 +4.35%
  • Asia Pacific Sovereign Debt CDS Index 13.50 -.52%
  • Emerging Market CDS Index 122.15 -2.84%
  • iBoxx Offshore RMB China Corporate High Yield Index 145.80 +.14%
  • 2-Year Swap Spread 20.25 +2.0 basis points
  • TED Spread 28.0 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -87.25 +11.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 73.59 +.51%
  • 3-Month T-Bill Yield 1.34% +3.0 basis points
  • Yield Curve 56.50 +4.5 basis points
  • China Iron Ore Spot 516.0 CNY/100 Metric Tonnes +1.67%
  • Citi US Economic Surprise Index 73.90 +1.7 points
  • Citi Eurozone Economic Surprise Index 63.40 -6.9 basis points
  • Citi Emerging Markets Economic Surprise Index -.3 -.8 point
  • 10-Year TIPS Spread 1.91 +2.0 basis points
  • 70.8% chance of Fed rate hike at March 21 meeting, 72.6% chance at May 2 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +114 open in Japan 
  • China A50 Futures: Indicating +19 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Higher: On gains in my retail/biotech/medical/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

1 comment:

best hedge funds in the world said...

Thansks for this superhelpful post, Gary.