Friday, December 06, 2013

Stocks Surging into Afternoon on Diminished Fed Taper Fears, Yen Weakness, Less Emerging Markets Debt Angst, Homebuilding/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.89 -7.89%
  • Euro/Yen Carry Return Index 146.91 +1.28%
  • Emerging Markets Currency Volatility(VXY) 9.20 unch.
  • S&P 500 Implied Correlation 50.68 -3.89%
  • ISE Sentiment Index 210.0 +61.54%
  • Total Put/Call .90 +16.88%
  • NYSE Arms .80 -26.70% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.30 -4.31%
  • European Financial Sector CDS Index 100.84 -1.57%
  • Western Europe Sovereign Debt CDS Index 64.0 +6.67%
  • Emerging Market CDS Index 291.25 -2.68%
  • 2-Year Swap Spread 8.75 -.25 basis point
  • TED Spread 18.50 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap .75 +1.75 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .06% +1 basis point
  • Yield Curve 256.0 -1 basis point
  • China Import Iron Ore Spot $139.20/Metric Tonne -.22%
  • Citi US Economic Surprise Index 32.50 +16.0 points
  • Citi Emerging Markets Economic Surprise Index -13.70 +.1 point
  • 10-Year TIPS Spread 2.12 -1 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +290 open in Japan
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: Covered some of my (IWM), (QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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