Wednesday, May 16, 2018

Stocks Rising into Final Hour on Earnings Optimism, Short-Covering, Technical Buying, Retail/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.5 -7.59%
  • Euro/Yen Carry Return Index 135.5 -.37%
  • Emerging Markets Currency Volatility(VXY) 9.03 +1.8%
  • S&P 500 Implied Correlation 34.78 -3.2%
  • ISE Sentiment Index 87.0 -18.7%
  • Total Put/Call .87 -20.9%
  • NYSE Arms .83 -1.39%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.81 -.25%
  • America Energy Sector High-Yield CDS Index 368.0 +.41%
  • European Financial Sector CDS Index 61.4 +5.36%
  • Italian/German 10Y Yld Spread 151.0 +20.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.89 +5.05%
  • Emerging Market CDS Index 159.31 -1.2%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.39 unch.
  • 2-Year Swap Spread 22.75 +1.5 basis points
  • TED Spread 41.5 -2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.5 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.71 +.26%
  • 3-Month T-Bill Yield 1.90% unch.
  • Yield Curve 50.5 +1.25 basis points
  • China Iron Ore Spot 67.64 USD/Metric Tonne -.03%
  • Citi US Economic Surprise Index 11.20 -6.7 points
  • Citi Eurozone Economic Surprise Index -95.40 +1.5 points
  • Citi Emerging Markets Economic Surprise Index -6.0 -2.1 points
  • 10-Year TIPS Spread 2.20 +1.0 basis point
  • 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +97  open in Japan 
  • China A50 Futures: Indicating +63 open in China
  • DAX Futures: Indicating +17 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical/biotech/industrial/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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