Wednesday, May 28, 2014

Stocks Slightly Higher into Final Hour on Less Eurozone Debt Angst, Short-Covering, Technical Buying, Transport/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 11.65 +1.22%
  • Euro/Yen Carry Return Index 144.57 -.37%
  • Emerging Markets Currency Volatility(VXY) 7.07 +.14%
  • S&P 500 Implied Correlation 55.47 -.04%
  • ISE Sentiment Index 101.0 -22.31%
  • Total Put/Call .91 +28.17%
  • NYSE Arms 1.05 -5.41% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.59 +.29%
  • European Financial Sector CDS Index 72.75 -2.47%
  • Western Europe Sovereign Debt CDS Index 35.05 -1.39%
  • Asia Pacific Sovereign Debt CDS Index 81.43 +.62%
  • Emerging Market CDS Index 252.89 -3.24%
  • China Blended Corporate Spread Index 346.0 -.27%
  • 2-Year Swap Spread 12.5 -3.75 basis points
  • TED Spread 19.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.5 +.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 207.0 -10.0 basis points
  • China Import Iron Ore Spot $96.80/Metric Tonne -1.33%
  • Citi US Economic Surprise Index 1.90 -.1 point
  • Citi Emerging Markets Economic Surprise Index -19.30 +1.1 points
  • 10-Year TIPS Spread 2.21 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -22 open in Japan
  • DAX Futures: Indicating -2 open in Germany
Portfolio: 
  • Higher: On gains in my medical/tech sector longs and index hedges
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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