Friday, February 14, 2014

Stocks Rising into Final Hour on Central Bank Hopes, Short-Covering, Less Eurozone Debt Angst, Metals & Mining/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.52 -4.38%
  • Euro/Yen Carry Return Index 145.57 -.15%
  • Emerging Markets Currency Volatility(VXY) 8.65 -2.59%
  • S&P 500 Implied Correlation 50.64 -1.92%
  • ISE Sentiment Index 118.0 +18.0%
  • Total Put/Call .82 +3.80%
  • NYSE Arms .96 +6.77% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.51 -1.57%
  • European Financial Sector CDS Index 88.29 -2.89%
  • Western Europe Sovereign Debt CDS Index 54.0 unch.
  • Asia Pacific Sovereign Debt CDS Index 105.47 -2.53%
  • Emerging Market CDS Index 331.07 +4.84%
  • China Blended Corporate Spread Index 354.44 +.16%
  • 2-Year Swap Spread 13.25 +.25 basis point
  • TED Spread 22.50 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.25 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% -2.0 basis points
  • Yield Curve 243.0 +1.0 basis point
  • China Import Iron Ore Spot $123.20/Metric Tonne +.98%
  • Citi US Economic Surprise Index 19.70 -3.4 points
  • Citi Emerging Markets Economic Surprise Index 20.10 +.2 point
  • 10-Year TIPS Spread 2.17 -2.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +157 open in Japan
  • DAX Futures: Indicating +13 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech 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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