Friday, November 20, 2015

Stocks Higher into Final Hour on Central Bank Hopes, Short-Covering, Less European/Emerging Markets Debt Angst, Retail/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.86 -6.66%
  • Euro/Yen Carry Return Index 136. 70 -.80%
  • Emerging Markets Currency Volatility(VXY) 10.18 -.88%
  • S&P 500 Implied Correlation 56.10 -3.32%
  • ISE Sentiment Index 91.0 -7.14%
  • Total Put/Call .98 +4.26%
  • NYSE Arms 1.64 +46.56
Credit Investor Angst:
  • North American Investment Grade CDS Index 84.05 -.12%
  • America Energy Sector High-Yield CDS Index 1,298.0 +3.81%
  • European Financial Sector CDS Index 69.97 -.76%
  • Western Europe Sovereign Debt CDS Index 18.99 -1.94%
  • Asia Pacific Sovereign Debt CDS Index 67.61 -.18%
  • Emerging Market CDS Index 311.94 -1.62%
  • iBoxx Offshore RMB China Corporate High Yield Index 124.15 +.12%
  • 2-Year Swap Spread 6.0 +.25 basis point
  • TED Spread 27.75 +3.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -447.75 -3.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.15 +.13%
  • 3-Month T-Bill Yield .10% +1.0 basis point
  • Yield Curve 136.0 +1.0 basis point
  • China Import Iron Ore Spot $44.91/Metric Tonne -1.17%
  • Citi US Economic Surprise Index -9.1 -.5 point
  • Citi Eurozone Economic Surprise Index 24.0 -.6 point
  • Citi Emerging Markets Economic Surprise Index 2.10 +2.1 points
  • 10-Year TIPS Spread 1.64 +3.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 2.67 -.03
Overseas Futures:
  • Nikkei 225 Futures: Indicating +55 open in Japan 
  • China A50 Futures: Indicating +3 open in China
  • DAX Futures: Indicating -11 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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