Thursday, December 19, 2013

Stocks Slightly Lower into Final Hour on Rising Long-Term Rates, Emerging Markets Debt Angst, Earnings Concerns, Homebuilding/REIT Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.77 -.22%
  • Euro/Yen Carry Return Index 148.38 -.29%
  • Emerging Markets Currency Volatility(VXY) 9.09 +.44%
  • S&P 500 Implied Correlation 51.96 +1.76%
  • ISE Sentiment Index 122.0 -.81%
  • Total Put/Call .73 -14.12%
  • NYSE Arms .81 +10.72% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.15 -1.95%
  • European Financial Sector CDS Index 88.20 -7.46%
  • Western Europe Sovereign Debt CDS Index 61.34 -1.06%
  • Emerging Market CDS Index 268.64 +.46%
  • 2-Year Swap Spread 8.25 +1.5 basis points
  • TED Spread 18.5 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -1.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .06% unch.
  • Yield Curve 257.0 +2.0 basis points
  • China Import Iron Ore Spot $132.70/Metric Tonne -.52%
  • Citi US Economic Surprise Index 39.10 -5.0 points
  • Citi Emerging Markets Economic Surprise Index -13.4 +.9 point
  • 10-Year TIPS Spread 2.15 -1 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +9 open in Japan
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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