Tuesday, February 03, 2015

Stocks Surging into Final Hour on Less Eurozone/Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Short-Covering, Energy/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.93 -7.72%
  • Euro/Yen Carry Return Index 141.08 +1.21%
  • Emerging Markets Currency Volatility(VXY) 10.72 -2.01%
  • S&P 500 Implied Correlation 65.01 +.40%
  • ISE Sentiment Index 67.0 -31.6%
  • Total Put/Call .96 -9.43%
  • NYSE Arms .52 -11.29% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.22 -3.04%
  • America Energy Sector High-Yield CDS Index 768.0 -.11%
  • European Financial Sector CDS Index 62.75 -5.97%
  • Western Europe Sovereign Debt CDS Index 25.42 -3.49%
  • Asia Pacific Sovereign Debt CDS Index 68.78 -1.72%
  • Emerging Market CDS Index 383.48 -4.88%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.50 +.02%
  • 2-Year Swap Spread 25.0 +1.25 basis points
  • TED Spread 24.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.25 -.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% +1.0 basis point
  • Yield Curve 127.0 +7.0 basis points
  • China Import Iron Ore Spot $63.18/Metric Tonne +1.17%
  • Citi US Economic Surprise Index -13.0 -4.5 points
  • Citi Eurozone Economic Surprise Index 12.60 +.6 point
  • Citi Emerging Markets Economic Surprise Index -5.90 -.7 point
  • 10-Year TIPS Spread 1.70 +6.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +245 open in Japan
  • DAX Futures: Indicating +24 open in Germany
Portfolio: 
  • Higher: On gains in my retail/tech/medical sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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