Thursday, July 30, 2015

Stocks Reversing Slightly Higher into Final Hour on Lower Long-Term Rates, Less US High-Yield Debt Angst, Technical Buying, Technology/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.39 -.88%
  • Euro/Yen Carry Return Index 141.69 -.37%
  • Emerging Markets Currency Volatility(VXY) 9.30 +3.22%
  • S&P 500 Implied Correlation 57.63 -.76%
  • ISE Sentiment Index 92.0 -21.37%
  • Total Put/Call .72 -20.0%
  • NYSE Arms 1.35 +125.39% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 71.16 +1.31%
  • America Energy Sector High-Yield CDS Index 1,579.0 -2.05%
  • European Financial Sector CDS Index 74.89 +1.29%
  • Western Europe Sovereign Debt CDS Index 21.98 -2.18%
  • Asia Pacific Sovereign Debt CDS Index 62.44 +2.16%
  • Emerging Market CDS Index 314.02 +.89%
  • iBoxx Offshore RMB China Corporates High Yield Index 120.95 +.14%
  • 2-Year Swap Spread 23.5 +1.25 basis points
  • TED Spread 24.5 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.75 -1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .06% +1.0 basis point
  • Yield Curve 154.0 -4.0 basis points
  • China Import Iron Ore Spot $55.89/Metric Tonne -.45%
  • Citi US Economic Surprise Index -16.3 -1.4 points
  • Citi Eurozone Economic Surprise Index 3.2 +7.0 points
  • Citi Emerging Markets Economic Surprise Index -12.8 +.8 point
  • 10-Year TIPS Spread 1.76 -1.0 basis point
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 5.28 -.12
Overseas Futures:
  • Nikkei 225 Futures: Indicating +48 open in Japan 
  • China A50 Futures: Indicating -298 open in China
  • DAX Futures: Indicating +4 open in Germany
Portfolio: 
  • Higher: On gains in my medical/tech/retail/biotech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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