Friday, December 26, 2014

Stocks Rising into Final Hour on Seasonal Strength, Central Bank Hopes, Short-Covering, Biotech/Utilities Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.58 +1.45%
  • Euro/Yen Carry Return Index 153.04 -.15%
  • Emerging Markets Currency Volatility(VXY) 10.89 -.82%
  • S&P 500 Implied Correlation 64.37 -4.17%
  • ISE Sentiment Index 111.0 +117.65%
  • Total Put/Call .74 unch.
  • NYSE Arms 1.08 -7.74% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.08 -.357% 
  • America Energy Sector High-Yield CDS Index 633.0 +.16%
  • European Financial Sector CDS Index 62.29 +.18%
  • Western Europe Sovereign Debt CDS Index 26.68 -.26%
  • Asia Pacific Sovereign Debt CDS Index 64.44 -.19%
  • Emerging Market CDS Index 325.55 -.04%
  • China Blended Corporate Spread Index 338.50 -.36%
  • 2-Year Swap Spread 18.5 -.25 basis point
  • TED Spread 25.5 +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.25 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .00% unch.
  • Yield Curve 151.0 -2.0 basis points
  • China Import Iron Ore Spot $66.94/Metric Tonne n/a
  • Citi US Economic Surprise Index 38.60 unch.
  • Citi Eurozone Economic Surprise Index 3.30 +.7 point
  • Citi Emerging Markets Economic Surprise Index -13.90 -.2 point
  • 10-Year TIPS Spread 1.68 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +165 open in Japan
  • DAX Futures: Indicating +6 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/retail/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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