Wednesday, August 28, 2013

Stocks Higher into Final Hour on Less Eurozone Debt Angst, Short-Covering, Bargain-Hunting, Energy/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.39 -2.27%
  • Euro/Yen Carry Return Index 135.89 +.28%
  • Emerging Markets Currency Volatility(VXY) 12.32 +7.22%
  • S&P 500 Implied Correlation 53.61 -1.72%
  • ISE Sentiment Index 194.0 +133.73%
  • Total Put/Call .77 -24.51%
  • NYSE Arms .76 -71.75% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 82.90 -1.40%
  • European Financial Sector CDS Index 148.92 -1.01%
  • Western Europe Sovereign Debt CDS Index 85.50 -3.53%
  • Emerging Market CDS Index 343.44 +.36%
  • 2-Year Swap Spread 16.25 -2.0 bps
  • TED Spread 23.0 +.25 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.75 +.25 bp
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 238.0 +2 bps
  • China Import Iron Ore Spot $138.50/Metric Tonne -.14%
  • Citi US Economic Surprise Index 25.40 -.6 point
  • Citi Emerging Markets Economic Surprise Index -23.0 unch.
  • 10-Year TIPS Spread 2.17 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +58 open in Japan
  • DAX Futures: Indicating -12 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/retail/tech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 25% Net Long

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