Wednesday, January 16, 2019

Stocks Rising into Final Hour on Earnings Optimism, Dovish FOMC Commentary, Less European/Emerging Markets/US High-Yield Debt Angst, Financial/Transport Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 18.4 -1.3%
  • Euro/Yen Carry Return Index 129.08 +.14%
  • Emerging Markets Currency Volatility(VXY) 9.36 -.21%
  • S&P 500 Implied Correlation 45.5 -1.79%
  • ISE Sentiment Index 95.0 +26.7%
  • Total Put/Call 1.16 +14.9%
  • NYSE Arms 1.10 -.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.73 -2.5%
  • America Energy Sector High-Yield CDS Index 734.0 -.76%
  • European Financial Sector CDS Index 96.61 -5.5%
  • Italian/German 10Y Yld Spread 253.0 -13.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 88.37 -1.07%
  • Emerging Market CDS Index 189.38 -2.0%
  • iBoxx Offshore RMB China Corporate High Yield Index 153.96 +.38%
  • 2-Year Swap Spread 16.0 -.25 basis point
  • TED Spread 35.5 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -.5 +2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 68.14 +.40%
  • 3-Month T-Bill Yield 2.41% -2.0 basis points
  • Yield Curve 18.0 unch.
  • China Iron Ore Spot 73.05 USD/Metric Tonne +2.3%
  • Citi US Economic Surprise Index -6.0 +1.8 points
  • Citi Eurozone Economic Surprise Index -84.5 +1.2 points
  • Citi Emerging Markets Economic Surprise Index -17.4 +1.3 points
  • 10-Year TIPS Spread 1.82 +2.0 basis point
  • 0.0% chance of Fed rate hike at March 20th meeting, 4.1% chance at May 1st meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +123 open in Japan 
  • China A50 Futures: Indicating +90 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/medical/retail sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some
  • Market Exposure: 100% Net Long

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