Thursday, March 29, 2018

Stocks Soaring into Final Hour on Lower Long-Term Rates, Diminishing Trade War Fears, Bargain-Hunting, Tech/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.8 -13.1%
  • Euro/Yen Carry Return Index 136.35 -.45%
  • Emerging Markets Currency Volatility(VXY) 7.96 -1.0%
  • S&P 500 Implied Correlation 47.32 -8.41%
  • ISE Sentiment Index 121.0 unch.
  • Total Put/Call .95 -29.6%
  • NYSE Arms 1.12 +16.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.93 -2.21%
  • America Energy Sector High-Yield CDS Index 448.0 -.63%
  • European Financial Sector CDS Index 65.96 -2.94%
  • Italian/German 10Y Yld Spread 129.0 -4.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 13.29 -1.23%
  • Emerging Market CDS Index 137.0 -3.0%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.62 -.05%
  • 2-Year Swap Spread 30.75 +2.75 basis points
  • TED Spread 60.75 +5.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.5 +1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.31 +.30%
  • 3-Month T-Bill Yield 1.70% -2.0 basis points
  • Yield Curve 47.25 -2.0 basis points
  • China Iron Ore Spot 64.41 USD/Metric Tonne +.58%
  • Citi US Economic Surprise Index 49.8 +1.1 points
  • Citi Eurozone Economic Surprise Index -56.80 +.4 point
  • Citi Emerging Markets Economic Surprise Index 31.80 +.1 point
  • 10-Year TIPS Spread 2.06 unch.
  • 78.0% chance of Fed rate hike at June 13 meeting, 79.3% chance at August 1 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +391 open in Japan 
  • China A50 Futures: Indicating +139 open in China
  • DAX Futures: Indicating +51 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/retail/industrial/medical/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging markets shorts
  • Market Exposure: Moved to 100% Net Long

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