Tuesday, February 06, 2018

Stocks Reversing Sharply Higher into Final Hour on Bargain-Hunting, Short-Covering, Yen Weakness, Road&Rail/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Heavy
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 30.0 -19.4%
  • Euro/Yen Carry Return Index 141.25 +.41%
  • Emerging Markets Currency Volatility(VXY) 8.92 +3.36%
  • S&P 500 Implied Correlation 44.32 +7.5%
  • ISE Sentiment Index 132.0 +100.0%
  • Total Put/Call 1.0 +9.89%
  • NYSE Arms .62 -82.46%
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.0 +.66%
  • America Energy Sector High-Yield CDS Index 359.0 -4.11%
  • European Financial Sector CDS Index 48.0 +5.82%
  • Italian/German 10Y Yld Spread 129.50 +.5 basis point
  • Asia Pacific Sovereign Debt CDS Index 12.63 +6.67%
  • Emerging Market CDS Index 119.95 -3.71%
  • iBoxx Offshore RMB China Corporate High Yield Index 147.34 +.12%
  • 2-Year Swap Spread 23.75 unch.
  • TED Spread 27.75 -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -29.50 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 75.73 +.24%
  • 3-Month T-Bill Yield 1.51% +2.0 basis points
  • Yield Curve 68.25 -3.0 basis points
  • China Iron Ore Spot 74.31 USD/Metric Tonne +.20%
  • Citi US Economic Surprise Index 48.10 -1.9 points
  • Citi Eurozone Economic Surprise Index 41.90 +5.0 basis points
  • Citi Emerging Markets Economic Surprise Index 1.1 -.7 basis point
  • 10-Year TIPS Spread 2.10 -2.0 basis points
  • 96.3% chance of Fed rate hike at May 2 meeting, 98.6% chance at June 13 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +470 open in Japan 
  • China A50 Futures: Indicating +76 open in China
  • DAX Futures: Indicating +169 open in Germany
Portfolio: 
  • Higher: On gains in my medical/retail/tech/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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