Monday, September 11, 2017

Stocks Surging into Afternoon on Diminished Hurricane Irma Concerns, Less Geopolitical Fear, Yen Weakness, Financial/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 10.8 -11.1%
  • Euro/Yen Carry Return Index 136.43 +.81%
  • Emerging Markets Currency Volatility(VXY) 7.7 -4.42%
  • S&P 500 Implied Correlation 29.23 -12.5%
  • ISE Sentiment Index 270.0 +241.8%
  • Total Put/Call .94 -13.0%
  • NYSE Arms 1.0 -24.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.77 -3.76%
  • America Energy Sector High-Yield CDS Index 444.0 -.25%
  • European Financial Sector CDS Index 50.32 -2.67%
  • Western Europe Sovereign Debt CDS Index 5.40 -1.8%
  • Asia Pacific Sovereign Debt CDS Index 18.89 -2.95%
  • Emerging Market CDS Index 174.33 -1.36%
  • iBoxx Offshore RMB China Corporate High Yield Index 141.63 +.09%
  • 2-Year Swap Spread 22.0 -2.0 basis points
  • TED Spread 27.0 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.25 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.11 -.15%
  • 3-Month T-Bill Yield 1.04% unch.
  • Yield Curve 81.0 +2.0 basis points
  • China Import Iron Ore Spot $74.49/Metric Tonne -4.98%
  • Citi US Economic Surprise Index -16.10 +7.7 points
  • Citi Eurozone Economic Surprise Index 19.30 -.3 point
  • Citi Emerging Markets Economic Surprise Index 21.20 -4.3 basis points
  • 10-Year TIPS Spread 1.84 +3.0 basis points
  • 13.8% chance of Fed rate hike at Nov. 1 meeting, 41.3% chance at Dec. 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +60 open in Japan 
  • China A50 Futures: Indicating +66 open in China
  • DAX Futures: Indicating +25 open in Germany
Portfolio: 
  • Higher: On gains in my medical/tech/retail sector longs 
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

1 comment:

Mike said...

This is really cool update. I would like to share this to our investing chat room group.

Thanks!