Wednesday, September 26, 2018

Stocks Rising into Final Hour on Less Emerging Market Debt/Currency Angst, Lower Long-Term Rates, Technical Buying, Retail/Transport Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.82 -4.8%
  • Euro/Yen Carry Return Index 138.02 -.17%
  • Emerging Markets Currency Volatility(VXY) 11.39 -1.9%
  • S&P 500 Implied Correlation 34.2 -1.44%
  • ISE Sentiment Index 102.0 -5.56%
  • Total Put/Call .83 -5.7%
  • NYSE Arms 1.38 +35.35%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.53 -3.04%
  • America Energy Sector High-Yield CDS Index 429.0 +8.39%
  • European Financial Sector CDS Index 79.63 -1.35%
  • Italian/German 10Y Yld Spread 233.25 -.25 basis point
  • Asia Pacific Sovereign Debt CDS Index 9.28 -4.03%
  • Emerging Market CDS Index 193.59 -2.69%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.61 -.05%
  • 2-Year Swap Spread 17.0 unch.
  • TED Spread 17.75 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.25 -2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.86 +.42%
  • 3-Month T-Bill Yield 2.20% unch.
  • Yield Curve 24.25 -1.5 basis point
  • China Iron Ore Spot 68.40 USD/Metric Tonne +.06%
  • Citi US Economic Surprise Index -.3 -.1 point
  • Citi Eurozone Economic Surprise Index -25.20 -.1 point
  • Citi Emerging Markets Economic Surprise Index -9.4 -.3 point
  • 10-Year TIPS Spread 2.15-1.0 basis point
  • 77.5% chance of Fed rate hike at Dec. 19th meeting, 78.4% chance at Jan. 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -43 open in Japan 
  • China A50 Futures: Indicating +97 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/retail/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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