Thursday, August 21, 2014

Stocks Rising into Final Hour on Central Bank Hopes, US Economic Data, Short-Covering, Financial/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.58 -1.70%
  • Euro/Yen Carry Return Index 143.94 +.19%
  • Emerging Markets Currency Volatility(VXY) 6.65 -1.77%
  • S&P 500 Implied Correlation 49.44 +.39%
  • ISE Sentiment Index 143.0 +48.96%
  • Total Put/Call .67 -22.98%
  • NYSE Arms 1.06 +113.90% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.18 -2.52%
  • European Financial Sector CDS Index 62.54 -2.72%
  • Western Europe Sovereign Debt CDS Index 31.91 -.31%
  • Asia Pacific Sovereign Debt CDS Index 68.86 -1.18%
  • Emerging Market CDS Index 273.30 +.59%
  • China Blended Corporate Spread Index 312.91 -.36%
  • 2-Year Swap Spread 22.25 +.5 basis point
  • TED Spread 21.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.0 +1.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .01% -2.0 basis points
  • Yield Curve 194.0 -2.0 basis points
  • China Import Iron Ore Spot $91.90/Metric Tonne -.43%
  • Citi US Economic Surprise Index 4.0 +5.8 points
  • Citi Emerging Markets Economic Surprise Index -14.60 -2.7 points
  • 10-Year TIPS Spread 2.18 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +54 open in Japan
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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