Friday, September 05, 2014

Stocks Rising into Final Hour on Central Bank Hopes, Diminished Russia-Ukraine Tensions, Short-Covering, Utility/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.27 -2.93%
  • Euro/Yen Carry Return Index 142.15 -.06%
  • Emerging Markets Currency Volatility(VXY) 6.40 -1.23%
  • S&P 500 Implied Correlation 48.48 -5.77%
  • ISE Sentiment Index 98.0 +16.67%
  • Total Put/Call 1.03 +6.19%
  • NYSE Arms 1.11 +42.03% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.46 -.81%
  • European Financial Sector CDS Index 56.0 -2.15%
  • Western Europe Sovereign Debt CDS Index 26.12 -6.50%
  • Asia Pacific Sovereign Debt CDS Index 62.52 -.68%
  • Emerging Market CDS Index 226.66 +.17%
  • China Blended Corporate Spread Index 306.67 -.15%
  • 2-Year Swap Spread 21.75 +.25 basis point
  • TED Spread 21.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.5 +3.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .02% -1.0 basis point
  • Yield Curve 195.0 +4.0 basis points
  • China Import Iron Ore Spot $83.60/Metric Tonne -.83%
  • Citi US Economic Surprise Index 37.90 -9.1 points
  • Citi Emerging Markets Economic Surprise Index -13.40 -.2 basis point
  • 10-Year TIPS Spread 2.16 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -22 open in Japan
  • DAX Futures: Indicating +19 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 50% Net Long

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