Friday, October 25, 2013

Stocks Higher into Final Hour on Central Bank Hopes, Short-Covering, Investor Performance Angst, REIT/Utility Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.26 +.45%
  • Euro/Yen Carry Return Index 140.15 +.11%
  • Emerging Markets Currency Volatility(VXY) 8.02 -2.79%
  • S&P 500 Implied Correlation 37.88 +3.19%
  • ISE Sentiment Index 93.0 +36.76%
  • Total Put/Call .93 +16.25%
  • NYSE Arms .88 -10.64% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.86 -.54%
  • European Financial Sector CDS Index 125.37 +2.25%
  • Western Europe Sovereign Debt CDS Index 69.0 -1.43%
  • Emerging Market CDS Index 262.04 +.01%
  • 2-Year Swap Spread 13.0 -.25 basis point
  • TED Spread 20.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 220.0 -1 basis point
  • China Import Iron Ore Spot $133.30/Metric Tonne -.15%
  • Citi US Economic Surprise Index 17.0 -.1 point
  • Citi Emerging Markets Economic Surprise Index -5.60 +.8 point
  • 10-Year TIPS Spread 2.19 +2 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +123 open in Japan
  • DAX Futures: Indicating +8 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/tech sector longs and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
  • Market Exposure: 50% Net Long

No comments: