Thursday, December 20, 2012

Stocks Rising into Final Hour on Fiscal Cliff Optimism, Short-Covering, US Economic Data, Financial Sector Strength

Broad Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • VIX 17.66 +1.73%
  • ISE Sentiment Index 127.0 +33.7%
  • Total Put/Call .84 -11.58%
  • NYSE Arms .79 -55.16%
Credit Investor Angst:
  • North American Investment Grade CDS Index 89.41 -.55%
  • European Financial Sector CDS Index 134.59 -2.74%
  • Western Europe Sovereign Debt CDS Index 108.99 -.31%
  • Emerging Market CDS Index 208.85 +1.49%
  • 2-Year Swap Spread 12.75 +.5 bp
  • TED Spread 26.0 -.5 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.5 -.75 bp
Economic Gauges:
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 152.0 -1 bp
  • China Import Iron Ore Spot $135.50/Metric Tonne unch.
  • Citi US Economic Surprise Index 56.0 +9.8 points
  • 10-Year TIPS Spread 2.49 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +109 open in Japan
  • DAX Futures: Indicating +13 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech, medical and biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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