Friday, September 28, 2018

Stocks Slightly Higher into Final Hour on Yen Weakness, Oil Gain, Technical Buying, Healthcare/Utility Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.77 +2.9%
  • Euro/Yen Carry Return Index 137.16 -.09%
  • Emerging Markets Currency Volatility(VXY) 10.44 -2.52%
  • S&P 500 Implied Correlation 35.16 +1.77%
  • ISE Sentiment Index 132.0 +25.71%
  • Total Put/Call 1.02 +9.68%
  • NYSE Arms 1.44 +33.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.75 -.09%
  • America Energy Sector High-Yield CDS Index 387.0 -9.37%
  • European Financial Sector CDS Index 83.66 +4.15%
  • Italian/German 10Y Yld Spread 267.75 +31.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 8.92 -2.51%
  • Emerging Market CDS Index 192.58 +1.34%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.65 -.05%
  • 2-Year Swap Spread 16.75 +.25 basis point
  • TED Spread 19.75 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -41.75 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.88 -.11%
  • 3-Month T-Bill Yield 2.19% +1.0 basis point
  • Yield Curve 23.75 +1.75 basis points
  • China Iron Ore Spot 67.65 USD/Metric Tonne -.12%
  • Citi US Economic Surprise Index -5.2 -2.7 points
  • Citi Eurozone Economic Surprise Index -31.90 -7.4 points
  • Citi Emerging Markets Economic Surprise Index -7.6 +.7 point
  • 10-Year TIPS Spread 2.15 unch.
  • 72.3% chance of Fed rate hike at Dec. 19th meeting, 74.0% chance at Jan. 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +35 open in Japan 
  • China A50 Futures: Indicating -1 open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/tech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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