Tuesday, February 10, 2015

Stocks Rising into Final Hour on Less Eurozone Debt Angst, Short-Covering, Yen Weakness, Gaming/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.20 -7.28%
  • Euro/Yen Carry Return Index 141.17 +.63%
  • Emerging Markets Currency Volatility(VXY) 11.04 +1.56%
  • S&P 500 Implied Correlation 67.53 -1.70%
  • ISE Sentiment Index 84.0 -11.58%
  • Total Put/Call .96 -11.11%
  • NYSE Arms .91 -6.04% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.34 -.48%
  • America Energy Sector High-Yield CDS Index 713.0 +.4%
  • European Financial Sector CDS Index 66.60 -1.84%
  • Western Europe Sovereign Debt CDS Index 25.94 -2.02%
  • Asia Pacific Sovereign Debt CDS Index 69.31 +.12%
  • Emerging Market CDS Index 386.17 +1.64%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.42 -.01%
  • 2-Year Swap Spread 26.25 unch.
  • TED Spread 24.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.0 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 134.0 +3.0 basis points
  • China Import Iron Ore Spot $62.38/Metric Tonne +1.93%
  • Citi US Economic Surprise Index -28.80 -2.7 points
  • Citi Eurozone Economic Surprise Index 31.20 +2.0 points
  • Citi Emerging Markets Economic Surprise Index -10.80 +.8 point
  • 10-Year TIPS Spread 1.70 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +208 open in Japan
  • DAX Futures: Indicating +39 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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