Wednesday, July 31, 2013

Stocks Slightly Lower into Final Hour on Rising Asian Debt Angst, Technical Selling, Profit-Taking, REIT/Telecom Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.35 -.30%
  • Euro/Yen Carry Return Index 135.72 -.11%
  • Emerging Markets Currency Volatility(VXY) 9.97 +2.15%
  • S&P 500 Implied Correlation 47.91 -1.40%
  • ISE Sentiment Index 113.0 +7.62%
  • Total Put/Call .89 +14.10%
  • NYSE Arms 1.0 -9.32% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 74.77 -1.12%
  • European Financial Sector CDS Index 140.99 -1.22%
  • Western Europe Sovereign Debt CDS Index 86.50 -.20%
  • Emerging Market CDS Index 304.62 -.72%
  • 2-Year Swap Spread 16.75 +.75 bp
  • TED Spread 23.0 -.5 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.25 -.25 bp
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 227.0 -2 bps
  • China Import Iron Ore Spot $129.90/Metric Tonne -.76%
  • Citi US Economic Surprise Index 4.0 +11.6 points
  • Citi Emerging Markets Economic Surprise Index -27.40 +.7 point
  • 10-Year TIPS Spread 2.20 +5 bps
Overseas Futures:
  • Nikkei Futures: Indicating -58 open in Japan
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/retail sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
  • Market Exposure: 50% Net Long

No comments: