Thursday, October 31, 2013

Stocks Slightly Higher into Final Hour on US Economic Data, Short-Covering, Investor Performance Angst, Healthcare/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.34 -2.27%
  • Euro/Yen Carry Return Index 139.38 -1.22%
  • Emerging Markets Currency Volatility(VXY) 8.11 +3.97%
  • S&P 500 Implied Correlation 39.26 -3.71%
  • ISE Sentiment Index 142.0 +56.04%
  • Total Put/Call .89 -8.25%
  • NYSE Arms .98 +26.11% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.85 -.29%
  • European Financial Sector CDS Index 117.94 -2.40%
  • Western Europe Sovereign Debt CDS Index 70.0 +1.45%
  • Emerging Market CDS Index 270.21 +.06%
  • 2-Year Swap Spread 12.0 +.25 basis point
  • TED Spread 20.5 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.0 -1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .04% +1 basis point
  • Yield Curve 224.0 +3 basis points
  • China Import Iron Ore Spot $131.90/Metric Tonne +.53%
  • Citi US Economic Surprise Index 3.80 +5.9 points
  • Citi Emerging Markets Economic Surprise Index -11.10 -2.0 points
  • 10-Year TIPS Spread 2.17 -1 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +128 open in Japan
  • DAX Futures: Indicating +7 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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