Thursday, June 05, 2014

Stocks Surging into Final Hour on Central Bank Hopes, Less Eurozone/Emerging Markets Debt Angst, Short-Covering, Financial/REIT Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Slightly Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 11.56 -4.30%
  • Euro/Yen Carry Return Index 146.04 +.14%
  • Emerging Markets Currency Volatility(VXY) 7.0 -3.45%
  • S&P 500 Implied Correlation 49.73 -6.01%
  • ISE Sentiment Index 100.0 +7.53%
  • Total Put/Call .70 -5.41%
  • NYSE Arms 1.13 +30.16% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.01 -3.31%
  • European Financial Sector CDS Index 67.43 -5.69%
  • Western Europe Sovereign Debt CDS Index 33.07 -4.53%
  • Asia Pacific Sovereign Debt CDS Index 80.11 +.92%
  • Emerging Market CDS Index 248.48 -2.78%
  • China Blended Corporate Spread Index 317.09 -.54%
  • 2-Year Swap Spread 14.50 +.75 basis point
  • TED Spread 20.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.50 -1.5 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 220.0 -1.0 basis point
  • China Import Iron Ore Spot $94.30/Metric Tonne -.32%
  • Citi US Economic Surprise Index -14.10 -.4 point
  • Citi Emerging Markets Economic Surprise Index -19.70 +1.9 points
  • 10-Year TIPS Spread 2.18 +1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +80 open in Japan
  • DAX Futures: Indicating +18 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/retail/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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