Tuesday, July 30, 2013

Stocks Slightly Higher into Final Hour on Less Eurozone Debt Angst, Short-Covering, Central Bank Hopes, Tech/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.70 +2.32%
  • Euro/Yen Carry Return Index 135.56 +.08%
  • Emerging Markets Currency Volatility(VXY) 9.62 +3.11%
  • S&P 500 Implied Correlation 49.89 -.50%
  • ISE Sentiment Index 95.0 -1.04%
  • Total Put/Call .80 -2.44%
  • NYSE Arms .89 -.85% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.77 -.59%
  • European Financial Sector CDS Index 142.72 -3.86%
  • Western Europe Sovereign Debt CDS Index 86.67 -1.68%
  • Emerging Market CDS Index 305.87 -1.03%
  • 2-Year Swap Spread 16.0 -.25 bp
  • TED Spread 23.50 -1.5 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.0 +.5 bp
Economic Gauges:
  • 3-Month T-Bill Yield .03% +1 bp
  • Yield Curve 229.0 +2 bps
  • China Import Iron Ore Spot $130.90/Metric Tonne -.61%
  • Citi US Economic Surprise Index -7.60 -2.1 points
  • Citi Emerging Markets Economic Surprise Index -28.10 -1.0 point
  • 10-Year TIPS Spread 2.15 +1 bp
Overseas Futures:
  • Nikkei Futures: Indicating -109 open in Japan
  • DAX Futures: Indicating -10 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/tech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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