Monday, March 17, 2014

Stocks Rising into Final Hour on Weak Russia Sanctions, Less Emerging Markets/European Debt Angst, Yen Weakness, Gaming/HMO Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.69 -11.95%
  • Euro/Yen Carry Return Index 147.73 +.42%
  • Emerging Markets Currency Volatility(VXY) 8.96 -1.32%
  • S&P 500 Implied Correlation 55.07 -6.69%
  • ISE Sentiment Index 90.0 +12.50%
  • Total Put/Call .83 +7.79%
  • NYSE Arms .86 -44.12% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.09 -3.79%
  • European Financial Sector CDS Index 90.20 -4.26%
  • Western Europe Sovereign Debt CDS Index 49.56 -.90%
  • Asia Pacific Sovereign Debt CDS Index 98.69 -3.08%
  • Emerging Market CDS Index 321.72 -2.09%
  • China Blended Corporate Spread Index 379.16 unch.
  • 2-Year Swap Spread 13.75 -.5 basis point
  • TED Spread 18.75 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.0 +.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .05% +1.0 basis point
  • Yield Curve 233.0 +3.0 basis points
  • China Import Iron Ore Spot $109.60/Metric Tonne -.45%
  • Citi US Economic Surprise Index -35.80 -3.1 points
  • Citi Emerging Markets Economic Surprise Index -8.70 -.7 point
  • 10-Year TIPS Spread 2.19 +1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +203 open in Japan
  • DAX Futures: Indicating +11 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

1 comment:

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