BETWEEN THE HEDGES

Friday, October 02, 2015

Weekly Scoreboard*

Posted by Gary .....at 6:31 PM

Indices

S&P 500 1,951.36 +1.04%

DJIA 16,472.37 +.97%

NASDAQ 4,707.77 +.45%

Russell 2000 1,114.12 -.77%

S&P 500 High Beta 29.32 +2.09%

Goldman 50 Most Shorted 113.03 -.94%

Wilshire 5000 20,280.70 +.73%

Russell 1000 Growth 952.70 +.65%

Russell 1000 Value 932.81 +1.12%

S&P 500 Consumer Staples 491.13 +.64%

Solactive US Cyclical 117.71 +1.61%

Morgan Stanley Technology 1,016.39 +2.04%

Transports 7,873.64 +.29%

Utilities 577.25 +.85%

Bloomberg European Bank/Financial Services 100.59 -.08%

MSCI Emerging Markets 33.34 +3.30%

HFRX Equity Hedge 1,146.70 -.55%

HFRX Equity Market Neutral 1,034.03 +.72%

Sentiment/Internals

NYSE Cumulative A/D Line 225,996 +.05%

Bloomberg New Highs-Lows Index -520 +479

Bloomberg Crude Oil % Bulls 36.67 +83.35%

CFTC Oil Net Speculative Position 251,728 -2.97%

CFTC Oil Total Open Interest 1,617,902 +.73%

Total Put/Call 1.09 -15.5%

OEX Put/Call 1.54 +8.45%

ISE Sentiment 79.0 +49.06%

NYSE Arms .57 -44.11%

Volatility(VIX) 20.94 -11.34%

S&P 500 Implied Correlation 61.39 -5.27%

G7 Currency Volatility (VXY) 9.76 -7.84%

Emerging Markets Currency Volatility (EM-VXY) 11.80 -8.46%

Smart Money Flow Index 16,954.43 -.64%

ICI Money Mkt Mutual Fund Assets $2.669 Trillion +.32%

ICI US Equity Weekly Net New Cash Flow +$.087 Billion

AAII % Bulls 28.1 -12.5%

AAII % Bears 39.9 +39.1%

Futures Spot Prices

CRB Index 194.11 -.82%

Crude Oil 45.75 +.64%

Reformulated Gasoline 134.73 -2.03%

Natural Gas 2.45 -3.99%

Heating Oil 152.50 +.40%

Gold 1,137.20 -.74%

Bloomberg Base Metals Index 144.84 -.50%

Copper 233.90 +2.74%

US No. 1 Heavy Melt Scrap Steel 199.0 USD/Ton unch.

China Iron Ore Spot 53.14 USD/Ton -6.74%

Lumber 221.40 +2.40%

UBS-Bloomberg Agriculture 1,049.81 +1.46%

Economy

ECRI Weekly Leading Economic Index Growth Rate -1.7% +20.0 basis points

Philly Fed ADS Real-Time Business Conditions Index .0408 n/a

S&P 500 Blended Forward 12 Months Mean EPS Estimate 126.07 -.11%

Citi US Economic Surprise Index -29.70 -4.7 points

Citi Eurozone Economic Surprise Index 31.3 +15.4 points

Citi Emerging Markets Economic Surprise Index -20.3 +4.4 points

Fed Fund Futures imply 92.0% chance of no change, 8.0% chance of 25 basis point hike on 10/28
# of Months to 1st Fed Rate Hike(Morgan Stanley) 5.24 -8.07%

US Dollar Index 95.95 -.38%

Euro/Yen Carry Return Index 140.57 -.32%

Yield Curve 140.0 -7.0 basis points

10-Year US Treasury Yield 1.98% -19.0 basis points

Federal Reserve's Balance Sheet $4.445 Trillion -.31%

U.S. Sovereign Debt Credit Default Swap 17.94 +5.65%

Illinois Municipal Debt Credit Default Swap 258.0 +2.43%

Western Europe Sovereign Debt Credit Default Swap Index 21.20 -1.51%

Asia Pacific Sovereign Debt Credit Default Swap Index 90.26 +4.54%

Emerging Markets Sovereign Debt CDS Index 280.60 +.96%

Israel Sovereign Debt Credit Default Swap 70.5 +.71%

Iraq Sovereign Debt Credit Default Swap 884.90 +4.18%

Russia Sovereign Debt Credit Default Swap 370.24 -.47%

iBoxx Offshore RMB China Corporates High Yield Index 119.68 unch.

10-Year TIPS Spread 1.49% +2.0 basis points

TED Spread 29.50 -3.0 basis points

2-Year Swap Spread 12.75 +2.75 basis points

3-Month EUR/USD Cross-Currency Basis Swap -26.50 -4.0 basis points

N. America Investment Grade Credit Default Swap Index 95.67 +10.3%

America Energy Sector High-Yield Credit Default Swap Index 1,123.0 +8.55%

European Financial Sector Credit Default Swap Index 95.95 +5.33%

Emerging Markets Credit Default Swap Index 370.44 -2.70%

CMBS AAA Super Senior 10-Year Treasury Spread to Swaps 120.0 unch.

M1 Money Supply $3.049 Trillion +.69%

Commercial Paper Outstanding 957.60 -7.1%

4-Week Moving Average of Jobless Claims 270,750 -1,000

Continuing Claims Unemployment Rate 1.6% -10 basis points

Average 30-Year Mortgage Rate 3.85% -1 basis point

Weekly Mortgage Applications 425.50 -6.71%

Bloomberg Consumer Comfort 43.0 +1.1 points

Weekly Retail Sales +1.20% -10.0 basis points

Nationwide Gas $2.29/gallon unch.

Baltic Dry Index 888.0 -5.83%

China (Export) Containerized Freight Index 814.09 n/a

Oil Tanker Rate(Arabian Gulf to U.S. Gulf Coast) 42.50 +13.33%

Rail Freight Carloads 280,844 -.20%

Best Performing Style

Large-Cap Value +.4%

Worst Performing Style

Small-Cap Growth -1.8%

Leading Sectors

Energy +3.5%

Road & Rail +3.4%

Gold & Silver +2.9%

Semis +2.1%

Computer Hardware +2.0%

Lagging Sectors

Telecom -2.2%

Homebuilders -3.8%

I-Banks -3.8%

Hospitals -4.5%

Coal -5.4%

Weekly High-Volume Stock Gainers (11)

RENT, SYNA, CRUS, JBL, LABL, FOXF, RMBS, ROCK, LKFN, FGL and VRSK

Weekly High-Volume Stock Losers (58)

HAE, PDFS, PF, CLNY QTWO, TCS, AZZ, DMND, WST, ACOR, TWOU, MB, AIMT, SQI, CSU, ENV, MNK, FRGI, DNKN, EVHC, WMC, EVH, NSAM, TMH, DEPO, MCRN, THC, VRX, HZNP, CIVI, NYLD, DYAX, IPXL, UNVR, MSGN, GI, ILMN, BLUE, TISI, AKRX, CMTL, LOXO, ADPT, PCRX, FINL, CHMA, KND, CROX, NTRA, HUN, RGEN, CARA, XON, MCRB, NK, EPZM, CUDA and ESPR

Weekly Charts

ETFs

High-Volume Gainers

High-Volume Losers

Stocks

High-Volume Gainers

High-Volume Losers

*5-Day Change

Stocks Reversing Higher into Final Hour on Central Bank Hopes, Short-Covering, Oil Reversal, Biotech/Commodity Sector Strength

Posted by Gary .....at 2:44 PM

Broad Equity Market Tone:

Advance/Decline Line: Modestly Higher

Sector Performance: Most Sectors Rising

Volume: Around Average

Market Leading Stocks: Underperforming

Equity Investor Angst:

Volatility(VIX) 21.96 -2.62%

Euro/Yen Carry Return Index 140.54 +.24%

Emerging Markets Currency Volatility(VXY) 11.95 -.75%

S&P 500 Implied Correlation 62.13 -.10%

ISE Sentiment Index 81.0 -15.63%

Total Put/Call 1.18 +24.21%

NYSE Arms .70 -.21%

Credit Investor Angst:

North American Investment Grade CDS Index 94.25 -.84%

America Energy Sector High-Yield CDS Index 1,125.0 +4.09%

European Financial Sector CDS Index 94.47 -2.54%

Western Europe Sovereign Debt CDS Index 21.20 +.14%

Asia Pacific Sovereign Debt CDS Index 60.26 +.37%

Emerging Market CDS Index 371.97 -1.80%

iBoxx Offshore RMB China Corporates High Yield Index 119.69 +.03%

2-Year Swap Spread 12.75 unch.

TED Spread 33.0 -2.0 basis points

3-Month EUR/USD Cross-Currency Basis Swap -26.50 +3.0 basis points

Economic Gauges:

Bloomberg Emerging Markets Currency Index 70.94 +.50%
3-Month T-Bill Yield -.01% +2.0 basis points

Yield Curve 142.0 +3.0 basis points

China Import Iron Ore Spot $53.14/Metric Tonne -5.17%

Citi US Economic Surprise Index -29.7 -7.4 points

Citi Eurozone Economic Surprise Index 31.3 -.3 point

Citi Emerging Markets Economic Surprise Index -20.30 +.3 point

10-Year TIPS Spread 1.49 +3.0 basis points
# of Months to 1st Fed Rate Hike(Morgan Stanley) 5.24 -.31

Overseas Futures:

Nikkei 225 Futures: Indicating +67 open in Japan
China A50 Futures: Indicating n/a open in China

DAX Futures: Indicating +67 open in Germany

Portfolio:

Higher: On gains in my biotech/retail/medical/tech sector longs

Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short

Market Exposure: Moved to 75% Net Long

Today's Headlines

Posted by Gary .....at 2:19 PM

Bloomberg:

Traders Don't See Fed Moving Until at Least March, Futures Show. The bond market is pushing back expectations for the first Federal Reserve interest-rate increase in almost a decade until March at the earliest. Traders pared bets on a 2015 hike and subsequent increases after the U.S. reported surprisingly weak labor data for September. The probability the futures market assigns for a boost at or before the Fed’s March meeting is now slightly better than a coin flip, at 53 percent, down from 66 percent Thursday. Traders see a 32 percent likelihood that the Fed raises rates by its December meeting, down from almost 60 percent a month ago, according to futures data compiled by Bloomberg. The probability of an increase by January is 40 percent, based on the assumption that the effective fed funds rate will average 0.375 percent after liftoff.

Macau Casinos Jump on Report China May Give Economic Support. Macau casino operators spiked after monthly gaming revenue in the world’s largest gambling hub fell in line with forecasts, and on reports China may move to support the city’s economy. Gross gaming revenue in Macau fell by a third in September, a 16th straight month of decline.

Merkel Approval Rating Drops to Four-Year Low on Refugee Crisis. German Chancellor Angela Merkel’s approval rating dropped to the lowest in almost four years in a monthly poll that suggests voters’ welcome for hundreds of thousands of refugees is exhausted. The share of Germans who are satisfied with Merkel’s handling of her job fell 9 percentage points to 54 percent in the Infratest Dimap poll, the lowest since December 2011, broadcaster ARD said in a statement Friday. Backing for Horst Seehofer, the Bavarian state premier who has called Merkel’s refugee policy a “mistake,” gained 11 points to 39 percent.

European Stocks Rebound Amid Speculation of U.S. Rate Rise Delay. In the end, European stocks rebounded as bad news for the U.S. economy fueled speculation that the Federal Reserve will delay raising interest rates. The Stoxx Europe 600 Index added 0.5 percent to 347.86 at the close of trading in London.

Russian Oil Output Reaches Post-Soviet Record in September. Russian oil output rose to a post-Soviet record last month as producers took advantage of the weak ruble to push ahead with drilling. The nation’s production of crude and condensate climbed to 10.74 million barrels a day, 1 percent more than a year earlier and topping a record set in June, according to data from the Energy Ministry’s CDU-TEK unit. Soviet-era production peaked at 11.48 million barrels a day in 1987, according to BP Plc. The increase comes at a time when Organization of Petroleum Exporting Countries are defending market share rather than cutting production amid a global output glut. Russia, which gets about half of its budget income from oil and gas revenues, is maintaining its own supplies in the face of Brent crude prices that fell 50 percent in the past year.

Oil Drillers Bet Choking Wells Will Keep Shale From Going Bust. Encana Corp. wants to ensure the shale-oil boom keeps booming. The Canadian producer is among a growing number of companies that are restricting initial output -- a process known as choking back -- in basins from North Dakota to Texas. They’re conceding huge up-front gushers of crude in exchange for smaller production declines over time so that the wells ultimately generate more oil. The strategy sacrifices one of the biggest benefits from shale. The early gushers paid back investments fast, allowing companies to pour capital into new projects. Instead, Encana and others envision a future with a more stable flow from wells, so that they don’t always have to keep drilling simply to maintain output. “You’re losing a barrel today to get two or three barrels tomorrow,” said Allen Gilmer, chief executive officer of consultant Drilling Info Inc. in Austin. “It’s not a zero-sum game.”

Bank Stocks Tumble as Jobs Report Threatens 2015 Rate Hike. Bank stocks tumbled as the U.S. jobs report fell short of forecasts and bond traders pushed back expectations for a Federal Reserve rate hike until next year. All 10 of the largest U.S. lenders dropped at least 2.3 percent at 11:22 a.m. in New York, led by Bank of America’s 3.8 percent drop. The Standard & Poor’s 500 Financials Index, the worst-performing industry in the broader S&P 500, fell as much as 3.1 percent to the lowest level since May 2014.

Economists Can't Find the Silver Lining in Today's Jobs Report. Friday's job figures contain few positives.

Hillary Clinton Lets Big Banks Off the Hook for Financial Crisis. Hillary Clinton's explanation of what caused the 2008 financial crisis contains a notable omission. Throughout the 2016 presidential primary campaign, Clinton has taken a markedly less critical view of large financial institutions like Citigroup Inc. than Democrats like Elizabeth Warren and presidential rival Bernie Sanders. Instead, Clinton has placed the blame on "shadow banking," a term she has used to describe hedge funds and high-frequency traders. “Her comments on their face are wrong,” said Christopher Whalen, senior managing director at Kroll Bond Rating Agency and author of Inflated: How Money and Debt Built the American Dream. “It is incorrect to blame the crisis on shadow banks. You can’t really differentiate between what they were doing and what Citi was doing.”

Wall Street Journal:

Hilsenrath’s Take: Soft Jobs Numbers Likely to Stay Fed’s Hand in October. Still, Fed officials may be reluctant to drop their plan to raise interest rates this year.

‘Something We Should Politicize’. Candor from the president and Mrs. Clinton. “This is something we should politicize,” President Obama said yesterday. “This” referred to the deaths, a few hours earlier, of nine innocent people, murdered by an obviously disturbed young man at Umpqua Community College in Roseburg, Ore.

Fox News:

'Filled with hate': Witnesses say Oregon gunman targeted Christians in community college mass murder. (video)

CNBC:

Cashin: This is not going to be a pleasant Christmas. (video)

Jobs miss is the 'worst case scenario' for market.

Zero Hedge:

Payrolls Disaster: Only 142K Jobs Added In September With Zero Wage Growth; August Revised Much Lower. (graph)

The Feudal "Recovery" Continues: 21,000 Waiters Added; 9,000 Manufacturing Workers Lost. (graph)

What If Expectations Of Our Central Bankers Are Simply Too High?

Meet Oregon School Shooter Chris Harper-Mercer: "You're Going To See God In Just About One Second".

Yen-Driven Buying-Panic Lifts Stocks Green Amid "The Most Aggresssive Buying I Have Ever Seen". (graph)

Newly Published Clinton Email Reveals How Government Manipulates Media.

Silver Spikes To Six-Week Highs On Heavy Volume - Biggest Jump Since Dec 2014. (graph)

Goldman's NFP Post-Mortem: A December Rate Hike Is Now A "Close Call".

Treasury Yields Are Crashing. (graph)

The US Has Added Three Times More Foreign-Born Workers Than Native-Born Since December 2007. (graph)

US Factory Orders Flash Recession Warning - Drop YoY For 10th Month In A Row. (graph)

US Financials' Default Risk Spikes To 2-Year High. (graph)

The Dangerous Illusion That Risk Can Be Offloaded Onto Others.

Participation Rate Crashes To October 1977 Level: Americans Not In The Labor Force Soar By 579,000 To Record 94.6 Million. (graph)

Business Insider:

The new 'Yelp for people' app is a psychologist's nightmare.

The Secret Service's latest scandal is beyond disturbing.

Asia's 'recession barometer' is flashing.

US Education Secretary Arne Duncan is suddenly stepping down.

China's collapsing housing market is a massive threat to the economy.

Washington Post:

Oregon shooter said to have singled out Christians for killing in ‘horrific act of cowardice’. Investigators including cyber-experts and hate crime specialists peered Friday into the life of a 26-year-old gunman whose massacre across an Oregon campus may have been driven by religious rage and a fascination with the twisted notoriety of high-profile killers. What is known so far about the attacker — identified by a U.S. law enforcement official as Chris Harper Mercer — appear only as loose strands that suggested an interest in firearms and the infamy gained by mass shooters. Witnesses also said he seemed to seek specific revenge against Christians, and police examined Web posts that hinted of wider antipathy toward organized faith. In one classroom, he appeared to single out Christian students for killing, according to witness Anastasia Boylan. “He said, ‘Good, because you’re a Christian, you’re going to see God in just about one second,'” Boylan’s father, Stacy, told CNN, relaying his daughter’s account while she underwent surgery to treat a gunshot to her spine. “And then he shot and killed them.” Another account came from Autumn Vicari, who described to NBC News what her brother J.J. witnessed in the room where the shootings occurred. According to NBC: “Vicari said at one point the shooter told people to stand up before asking whether they were Christian or not. Vicari’s brother told her that anyone who responded ‘yes’ was shot in the head. If they said ‘other’ or didn’t answer, they were shot elsewhere in the body, usually the leg.”

Telegraph:

IMF's mass debt relief call for Greece set to be rejected by Europe. Fund's bold recommendations for huge restructuring remain sticking poing in bail-out talks.

Bear Radar

Posted by Gary .....at 12:47 PM

Style Underperformer:

Small-Cap Value -.87%

Sector Underperformers:

1) Banks -2.56% 2) I-Banks -2.41% 3) Hospitals -1.56%

Stocks Falling on Unusual Volume:

CIVI, PRGS, RGS, O, KND, CAA, CSWC, OAK, MTB, TDOC, VRX, DPLO, BAC, CBU, STE, AMTD, SCHW, PCAR, LPLA, RENT, IBKR, VSI, MYRG, CME, FMBI, USB, SCHW, FII, FMBI, KND and AIMT

Stocks With Unusual Put Option Activity: