Wednesday, November 01, 2017

Stocks Mostly Higher into Final Hour on Economic Optimism, Earnings Outlooks, Yen Weakness, Gaming/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Heavy
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 9.99 -1.87%
  • Euro/Yen Carry Return Index 138.37 +.28%
  • Emerging Markets Currency Volatility(VXY) 8.07 -.49%
  • S&P 500 Implied Correlation 15.31 +16.6%
  • ISE Sentiment Index 98.0 -17.7%
  • Total Put/Call .90 +3.45%
  • NYSE Arms .74 -42.98%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.67 +.51%
  • America Energy Sector High-Yield CDS Index 370.0 -3.11%
  • European Financial Sector CDS Index 49.96 -2.53%
  • Western Europe Sovereign Debt CDS Index 4.15 -1.54%
  • Asia Pacific Sovereign Debt CDS Index 15.14 -3.07%
  • Emerging Market CDS Index 174.84 +.24%
  • iBoxx Offshore RMB China Corporate High Yield Index 144.93 +.1%
  • 2-Year Swap Spread 21.0 -1.5 basis points
  • TED Spread 22.5 -6.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -42.75 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 72.57 +.03%
  • 3-Month T-Bill Yield 1.16% +3.0 basis points
  • Yield Curve 75.0 -3.0 basis points
  • China Import Iron Ore Spot $59.35/Metric Tonne +1.42%
  • Citi US Economic Surprise Index 40.50 +.3 point
  • Citi Eurozone Economic Surprise Index 58.70 -.3 basis point
  • Citi Emerging Markets Economic Surprise Index 19.10 -4.5 points
  • 10-Year TIPS Spread 1.88 unch.
  • 98.1% chance of Fed rate hike at Jan. 31 meeting, 99.0% chance at March 21 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +155 open in Japan 
  • China A50 Futures: Indicating +39 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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