Thursday, March 15, 2018

Stocks Slightly Higher into Afternoon on Diminished Trade War Fears, Oil Gain, Short-Covering, Healthcare/Restaurant Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.44 -4.59%
  • Euro/Yen Carry Return Index 136.31 -.47%
  • Emerging Markets Currency Volatility(VXY) 7.79 unch.
  • S&P 500 Implied Correlation 42.10 -.73%
  • ISE Sentiment Index 108.0 +52.11%
  • Total Put/Call .78 -25.0%
  • NYSE Arms 1.30 +1.09%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.62 -.62%
  • America Energy Sector High-Yield CDS Index 399.0 +.35%
  • European Financial Sector CDS Index 52.76 +1.03%
  • Italian/German 10Y Yld Spread 141.0 -1.25 basis points
  • Asia Pacific Sovereign Debt CDS Index 11.42 +1.92%
  • Emerging Market CDS Index 119.20 +2.33%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.38 +.10%
  • 2-Year Swap Spread 29.75 +1.5 basis point
  • TED Spread 36.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -31.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.13 -.44%
  • 3-Month T-Bill Yield 1.77% +2.0 basis points
  • Yield Curve 54.5 -.75 basis point
  • China Iron Ore Spot 69.23 USD/Metric Tonne -1.24%
  • Citi US Economic Surprise Index 39.70 -.1 point
  • Citi Eurozone Economic Surprise Index -31.60 +.1 point
  • Citi Emerging Markets Economic Surprise Index 39.50 +.4 point
  • 10-Year TIPS Spread 2.09 +1.0 basis point
  • 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -144 open in Japan 
  • China A50 Futures: Indicating +6 open in China
  • DAX Futures: Indicating -8 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/industrial sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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