Tuesday, February 13, 2018

Stocks Reversing Higher into Final Hour on Stable Long-Term Rates, Short-Covering, Technical Buying, Retail/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 25.02 -2.3%
  • Euro/Yen Carry Return Index 138.59 -.39%
  • Emerging Markets Currency Volatility(VXY) 8.77 -2.66%
  • S&P 500 Implied Correlation 44.67 -4.94%
  • ISE Sentiment Index 103.0 -11.2%
  • Total Put/Call .97 +5.43%
  • NYSE Arms .92 +51.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.23 +.94%
  • America Energy Sector High-Yield CDS Index 408.0 +2.54%
  • European Financial Sector CDS Index 56.45 +4.1%
  • Italian/German 10Y Yld Spread 133.50 +5.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 13.70 +2.2%
  • Emerging Market CDS Index 134.45 +2.61%
  • iBoxx Offshore RMB China Corporate High Yield Index 147.42 +.01%
  • 2-Year Swap Spread 25.5 -2.5 basis points
  • TED Spread 24.0 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -32.0 +3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.15 +.04%
  • 3-Month T-Bill Yield 1.59% +2.0 basis points
  • Yield Curve 73.50 -5.0 basis points
  • China Iron Ore Spot 76.60 USD/Metric Tonne +.98%
  • Citi US Economic Surprise Index 43.30 -.2 point
  • Citi Eurozone Economic Surprise Index 38.60 -.9 point
  • Citi Emerging Markets Economic Surprise Index .4 -.6 point
  • 10-Year TIPS Spread 2.06 -1.0 basis point
  • 100.0% chance of Fed rate hike at May 2 meeting, 100.0% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -39 open in Japan 
  • China A50 Futures: Indicating -8 open in China
  • DAX Futures: Indicating +41 open in Germany
Portfolio: 
  • Higher: On gains in my tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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