Wednesday, December 24, 2014

Stocks Slightly Higher into Final Hour on Seasonal Strength, Less European Debt Angst, Short-Covering, Biotech/Airline Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.10 -4.73%
  • Euro/Yen Carry Return Index 153.31 -.06%
  • Emerging Markets Currency Volatility(VXY) 10.85 -.28%
  • S&P 500 Implied Correlation 64.97 -1.77%
  • ISE Sentiment Index 51.0 -27.14%
  • Total Put/Call .94 +10.59%
  • NYSE Arms 1.07 +38.68% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.25 -.35% 
  • America Energy Sector High-Yield CDS Index 636.0 +1.1%
  • European Financial Sector CDS Index 61.86 -.86%
  • Western Europe Sovereign Debt CDS Index 26.76 -3.51%
  • Asia Pacific Sovereign Debt CDS Index 64.55 +.01%
  • Emerging Market CDS Index 325.69 +.46%
  • China Blended Corporate Spread Index 339.71 -1.04%
  • 2-Year Swap Spread 18.75 +.25 basis point
  • TED Spread 23.5 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .00% -2.0 basis points
  • Yield Curve 153.0 +1.0 basis points
  • China Import Iron Ore Spot $66.94/Metric Tonne +.15%
  • Citi US Economic Surprise Index 38.60 +1.6 points
  • Citi Eurozone Economic Surprise Index 2.60 +.5 point
  • Citi Emerging Markets Economic Surprise Index -13.70 +.3 point
  • 10-Year TIPS Spread 1.68 -3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +80 open in Japan
  • DAX Futures: Indicating +7 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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