Monday, April 06, 2015

Stocks Surging into Final Hour on Central Bank Hopes, Euro/Oil Bounce, Short-Covering, Metals & Mining/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.46 -1.43%
  • Euro/Yen Carry Return Index 136.82 +.33%
  • Emerging Markets Currency Volatility(VXY) 9.85 -2.48%
  • S&P 500 Implied Correlation 63.07 -1.65%
  • ISE Sentiment Index 112.0 +64.71%
  • Total Put/Call .88 -21.43%
  • NYSE Arms .61 +18.03% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.41 -2.37%
  • America Energy Sector High-Yield CDS Index 1,112.0 -.54%
  • European Financial Sector CDS Index 68.43 n/a
  • Western Europe Sovereign Debt CDS Index 22.34 -.53%
  • Asia Pacific Sovereign Debt CDS Index 58.21 -.63%
  • Emerging Market CDS Index 298.57 -4.0%
  • iBoxx Offshore RMB China Corporates High Yield Index 114.67 +.06%
  • 2-Year Swap Spread 26.25 unch.
  • TED Spread 26.25 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 141.0 +4.0 basis points
  • China Import Iron Ore Spot $47.08/Metric Tonne n/a
  • Citi US Economic Surprise Index -56.5 -9.2 points
  • Citi Eurozone Economic Surprise Index 63.70 +.6 point
  • Citi Emerging Markets Economic Surprise Index 4.5 -.4 point
  • 10-Year TIPS Spread 1.85 +4.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +219 open in Japan
  • DAX Futures: Indicating +12 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/retail/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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