Wednesday, December 18, 2013

Stocks Surging into Final Hour on Dovish FOMC Statement, Yen Weakness, Short-Covering, Homebuilding/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.42 -11.04%
  • Euro/Yen Carry Return Index 148.58 +.77%
  • Emerging Markets Currency Volatility(VXY) 8.94 -1.65%
  • S&P 500 Implied Correlation 61.22 -5.71%
  • ISE Sentiment Index 122.0 -.81%
  • Total Put/Call .86 -1.15%
  • NYSE Arms .86 -29.07% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.97 -2.92%
  • European Financial Sector CDS Index 94.93 -1.12%
  • Western Europe Sovereign Debt CDS Index 62.0 -1.59%
  • Emerging Market CDS Index 268.12 -1.19%
  • 2-Year Swap Spread 6.75 -1.5 basis points
  • TED Spread 18.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.5 -2.75 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .06% unch.
  • Yield Curve 255.0 +3.0 basis points
  • China Import Iron Ore Spot $133.40/Metric Tonne -.67%
  • Citi US Economic Surprise Index 44.10 -1.1 points
  • Citi Emerging Markets Economic Surprise Index -14.3 +2.5 points
  • 10-Year TIPS Spread 2.16 -2 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +340 open in Japan
  • DAX Futures: Indicating +81 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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