Wednesday, June 17, 2015

Stocks Rising into Final Hour on Central Bank Hopes, Stable Long-Term Rates, Short-Covering, Gaming/Utility Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.99 +1.22%
  • Euro/Yen Carry Return Index 146.05 +.77%
  • Emerging Markets Currency Volatility(VXY) 9.25 -.43%
  • S&P 500 Implied Correlation 62.24 -.14%
  • ISE Sentiment Index 104.0 +15.56%
  • Total Put/Call .79 +6.76%
  • NYSE Arms .89 +7.70% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.41 +1.04%
  • America Energy Sector High-Yield CDS Index 1,576.0 -4.19%
  • European Financial Sector CDS Index 89.93 +4.47%
  • Western Europe Sovereign Debt CDS Index 27.81 -3.07%
  • Asia Pacific Sovereign Debt CDS Index 62.83 -.78%
  • Emerging Market CDS Index 320.55 -.28%
  • iBoxx Offshore RMB China Corporates High Yield Index 120.44 unch.
  • 2-Year Swap Spread 26.0 unch.
  • TED Spread 27.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.0 +.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .00% unch.
  • Yield Curve 165.0 +2.0 basis points
  • China Import Iron Ore Spot $61.51/Metric Tonne -2.23%
  • Citi US Economic Surprise Index -32.90 unch.
  • Citi Eurozone Economic Surprise Index -1.2 -.6 point
  • Citi Emerging Markets Economic Surprise Index -18.50 -.7 point
  • 10-Year TIPS Spread 1.92 +1.0 basis point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +15 open in Japan 
  • China A50 Futures: Indicating -324 open in China
  • DAX Futures: Indicating -65 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/retail/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
  • Market Exposure: 50% Net Long

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