Thursday, May 14, 2015

Stocks Rising into Final Hour on Lower Long-Term Rates, Less European/US High-Yield Debt Angst, Central Bank Hopes, Medical/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.89 -6.32%
  • Euro/Yen Carry Return Index 141.92 +.43%
  • Emerging Markets Currency Volatility(VXY) 9.72 -1.32%
  • S&P 500 Implied Correlation 63.08 -.63%
  • ISE Sentiment Index 244.0 +141.58%
  • Total Put/Call .80 -6.98%
  • NYSE Arms 1.46 +38.42% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.88 -2.22%
  • America Energy Sector High-Yield CDS Index 1,060.0 +.15%
  • European Financial Sector CDS Index 73.42 -.95%
  • Western Europe Sovereign Debt CDS Index 22.07 -3.50%
  • Asia Pacific Sovereign Debt CDS Index 61.32 +1.68%
  • Emerging Market CDS Index 290.71 -1.35%
  • iBoxx Offshore RMB China Corporates High Yield Index 118.78 +.13%
  • 2-Year Swap Spread 26.75 unch.
  • TED Spread 26.0 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.25 +.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% -1.0 basis point
  • Yield Curve 169.0 -1.0 basis point
  • China Import Iron Ore Spot $62.30/Metric Tonne -.45%
  • Citi US Economic Surprise Index -62.0 +1.8 points
  • Citi Eurozone Economic Surprise Index 2.20 -.3 point
  • Citi Emerging Markets Economic Surprise Index -19.0 -.4 point
  • 10-Year TIPS Spread 1.88 -1.0 basis point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +89 open in Japan 
  • China A50 Futures: Indicating -136 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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