Monday, October 28, 2013

Stocks Slightly Higher into Final Hour on Central Bank Hopes, Short-Covering, Commodity/Retail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.29 +1.53%
  • Euro/Yen Carry Return Index 140.51 +.22%
  • Emerging Markets Currency Volatility(VXY) 7.83 -2.37%
  • S&P 500 Implied Correlation 38.45 +3.31%
  • ISE Sentiment Index 182.0 +102.22%
  • Total Put/Call .77 -16.30%
  • NYSE Arms .71 -9.38% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.84 +.15%
  • European Financial Sector CDS Index 122.37 -2.40%
  • Western Europe Sovereign Debt CDS Index 69.33 +.48%
  • Emerging Market CDS Index 260.25 -.54%
  • 2-Year Swap Spread 12.75 -.25 basis point
  • TED Spread 21.5 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.0 -.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% -1 basis point
  • Yield Curve 221.0 +1 basis point
  • China Import Iron Ore Spot $131.80/Metric Tonne -1.13%
  • Citi US Economic Surprise Index 11.4 -5.6 points
  • Citi Emerging Markets Economic Surprise Index -4.70 +.9 point
  • 10-Year TIPS Spread 2.19 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -71 open in Japan
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/retail sector longs and index hedges
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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