Tuesday, October 01, 2013

Stocks Rising into Final Hour on Diminished US Govt Shutdown Fears, Less Eurozone/Emerging Markets Debt Angst, Short-Covering, Healthcare/Biotech Sector Strength

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) 16.01 -3.56%
  • Euro/Yen Carry Return Index 138.06 -.35%
  • Emerging Markets Currency Volatility(VXY) 10.07 -.40%
  • S&P 500 Implied Correlation 48.62 -1.06%
  • ISE Sentiment Index 109.0 +73.02%
  • Total Put/Call .87 -20.91%
  • NYSE Arms .75 -53.56% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.48 -1.76%
  • European Financial Sector CDS Index 139.26 -5.63%
  • Western Europe Sovereign Debt CDS Index 82.0 -6.75%
  • Emerging Market CDS Index 287.75 -2.21%
  • 2-Year Swap Spread 13.25 unch.
  • TED Spread 23.0 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.0 +1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% +2 basis points
  • Yield Curve 231.0 +1 basis point
  • China Import Iron Ore Spot $131.40/Metric Tonne unch.
  • Citi US Economic Surprise Index 53.30 +2.8 points
  • Citi Emerging Markets Economic Surprise Index .60 -5.6 points
  • 10-Year TIPS Spread 2.20 +1 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +15 open in Japan
  • DAX Futures: Indicating -6 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/biotech/tech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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