Tuesday, July 07, 2015

Stocks Reversing Higher into Final Hour on Greece Debt Deal Hopes, Short-Covering, Lower Long-Term Rates, Gaming/Utility Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.7 -1.88%
  • Euro/Yen Carry Return Index 140.44 -.87%
  • Emerging Markets Currency Volatility(VXY) 9.25 +3.47%
  • S&P 500 Implied Correlation 59.63 -3.40%
  • ISE Sentiment Index 61.0 -42.45%
  • Total Put/Call 1.32 +23.36%
  • NYSE Arms .95 -34.91% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.67 +.41%
  • America Energy Sector High-Yield CDS Index 1,268.0 +1.72%
  • European Financial Sector CDS Index 100.76 +3.56%
  • Western Europe Sovereign Debt CDS Index 31.85 +7.73%
  • Asia Pacific Sovereign Debt CDS Index 61.83 +2.14%
  • Emerging Market CDS Index 317.08 +1.31%
  • iBoxx Offshore RMB China Corporates High Yield Index 120.75 -.15%
  • 2-Year Swap Spread 25.50 -1.0 basis point
  • TED Spread 27.5 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .01% +1.0 basis point
  • Yield Curve 167.0 -3.0 basis points
  • China Import Iron Ore Spot $49.60/Metric Tonne -5.13%
  • Citi US Economic Surprise Index -21.5 +2.1 points
  • Citi Eurozone Economic Surprise Index -6.7 -.2 point
  • Citi Emerging Markets Economic Surprise Index -18.60 -.4 point
  • 10-Year TIPS Spread 1.89 -3.0 basis points
Overseas Futures:
  • Nikkei 225 Futures: Indicating -6 open in Japan 
  • China A50 Futures: Indicating -759 open in China
  • DAX Futures: Indicating +157 open in Germany
Portfolio: 
  • Higher: On gains in my retail/medical 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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