Thursday, March 08, 2012

Stocks Surging into Final Hour on Less Eurozone Debt Angst, More Tech Sector Optimism, Short-Covering, Investor Performance Angst


Broad Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • VIX 17.83 -6.45%
  • ISE Sentiment Index 114.0 +12.87%
  • Total Put/Call .91 -5.21%
  • NYSE Arms .67 -16.25%
Credit Investor Angst:
  • North American Investment Grade CDS Index 96.10 -.08%
  • European Financial Sector CDS Index 174.32 -4.07%
  • Western Europe Sovereign Debt CDS Index 349.82 -.80%
  • Emerging Market CDS Index 237.02 -3.40%
  • 2-Year Swap Spread 25.50 -.25 bp
  • TED Spread 39.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -64.0 +.5 bp
Economic Gauges:
  • 3-Month T-Bill Yield .08% unch.
  • Yield Curve 171.0 +4 bps
  • China Import Iron Ore Spot $142.60/Metric Tonne -.28%
  • Citi US Economic Surprise Index 45.60 -1.3 points
  • 10-Year TIPS Spread 2.26 +4 bps
Overseas Futures:
  • Nikkei Futures: Indicating +75 open in Japan
  • DAX Futures: Indicating +27 open in Germany
Portfolio:
  • Higher: On gains in my Tech, Retail, Medical and Biotech sector longs
  • Disclosed Trades: Covered all of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 100% Net Long

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