Friday, May 11, 2018

Stocks Slightly Higher into Final Hour on Less Emerging Markets Debt Angst, Short-Covering, Technical Buying, Biotech/Retail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Mixed
Equity Investor Angst:
  • Volatility(VIX) 13.4 +1.4%
  • Euro/Yen Carry Return Index 135.87 +.12%
  • Emerging Markets Currency Volatility(VXY) 8.51 -.58%
  • S&P 500 Implied Correlation 35.99 +.87%
  • ISE Sentiment Index 128.0 -9.86%
  • Total Put/Call .88 +.10%
  • NYSE Arms 1.0 +38.31%
Credit Investor Angst:
  • North American Investment Grade CDS Index 58.85 -1.79%
  • America Energy Sector High-Yield CDS Index 369.0 -.22%
  • European Financial Sector CDS Index 58.23 -2.52%
  • Italian/German 10Y Yld Spread 131.25 -6.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 12.08 -3.13%
  • Emerging Market CDS Index 154.65 +3.1%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.40 +.04%
  • 2-Year Swap Spread 22.25 -2.25 basis points
  • TED Spread 45.5 -1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.39 -.27%
  • 3-Month T-Bill Yield 1.90% +2.0 basis points
  • Yield Curve 43.75 +.25 basis point
  • China Iron Ore Spot 67.73 USD/Metric Tonne +.77%
  • Citi US Economic Surprise Index 21.4 +.2 point
  • Citi Eurozone Economic Surprise Index -97.90 +1.0 point
  • Citi Emerging Markets Economic Surprise Index -.2 +.5 point
  • 10-Year TIPS Spread 2.17 -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 -48  open in Japan 
  • China A50 Futures: Indicating +44 open in China
  • DAX Futures: Indicating -9 open in Germany
Portfolio: 
  • Higher: On gains in my industrial/retail/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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