BETWEEN THE HEDGES

Friday, December 18, 2009

Weekly Scoreboard*

Posted by Gary .....at 7:02 PM

Indices
S&P 500 1,102.47 -.36%
DJIA 10,328.89 -1.36%
NASDAQ 2,211.69 +.98%
Russell 2000 610.57 +1.70%
Wilshire 5000 11,245.29 +.06%
Russell 1000 Growth 492.57 -.01%
Russell 1000 Value 561.79 -.25%
Morgan Stanley Consumer 663.17 -1.82%

Morgan Stanley Cyclical 817.73 +1.41%
Morgan Stanley Technology 564.17 +1.95%
Transports 4,128.53 +.85%
Utilities 402.48 -.64%
MSCI Emerging Markets 40.40 -2.04%

Lyxor L/S Equity Long Bias Index 963.44 +.49%

Lyxor L/S Equity Variable Bias Index 849.11 +.11%

Lyxor L/S Equity Short Bias Index 966.24 -1.41%

Sentiment/Internals
NYSE Cumulative A/D Line +65,708 +1.26%
Bloomberg New Highs-Lows Index +133 -40
Bloomberg Crude Oil % Bulls 46.0 +53.3%
CFTC Oil Net Speculative Position +53,192 -21.57%

CFTC Oil Total Open Interest 1,217,100 -.07%
Total Put/Call .97 +11.49%
OEX Put/Call 1.93 +15.57%
ISE Sentiment 121.0 -21.43%
NYSE Arms .50 -37.50%
Volatility(VIX) 21.68 +.42%
G7 Currency Volatility (VXY) 13.32 +2.10%
Smart Money Flow Index 9,271.12 -.96%

Money Mkt Mutual Fund Assets $3.269 Trillion -1.5%
AAII % Bulls 42.11 -1.34%
AAII % Bears 28.42 -19.65%

Futures Spot Prices
CRB Index 276.14 +1.95%

Crude Oil 73.36 +5.46%
Reformulated Gasoline 189.48 +3.0%
Natural Gas 5.78 +12.40%
Heating Oil 195.67 +2.62%
Gold 1,111.50 -.37%
Bloomberg Base Metals 201.39 +.79%
Copper 313.85 -.05%

US No. 1 Heavy Melt Scrap Steel 248.33 USD/Ton +17.88%

China Hot Rolled Domestic Steel Sheet 3,846 Yuan/Ton +3.61%

S&P GSCI Agriculture 345.68 +.62%

Economy
ECRI Weekly Leading Economic Index 130.70 +.38%

Citi US Economic Surprise Index +17.20 -42.67%

Fed Fund Futures imply 68.0% chance of no change, 32.0% chance of 25 basis point cut on 1/27

US Dollar Index 77.77 +1.56%

Yield Curve 274.0 -1 basis point

10-year US Treasury Yield 3.54% -1 basis point

Federal Reserve’s Balance Sheet $2.118 Trillion +2.27%

U.S. Sovereign Debt Credit Default Swap 43.0 +7 basis points

10-year TIPS Spread 2.29% +10 basis points
TED Spread 21.0 -2 basis points
N. Amer. Investment Grade Credit Default Swap Index 89.39 -5.35%

Euro Financial Sector Credit Default Swap Index 69.73 -2.66%
Emerging Markets Credit Default Swap Index 270.10 -4.56%
CMBS Super Senior AAA 10-year Treasury Spread 465.0 -23 basis points

M1 Money Supply $1.685 Trillion -.37%

Business Loans 667.50 -.82%
4-Wk MA of Jobless Claims 467,500 -1.1%

Continuing Claims Unemployment Rate 3.9% unch.
Average 30-year Mortgage Rate 4.94% +13 basis points
Weekly Mortgage Applications 667.30 +.26%

ABC Consumer Confidence -45 +2 points
Weekly Retail Sales +1.30% +10 basis points
Nationwide Gas $2.59/gallon -.03/gallon
US Heating Demand Next 7 Days 1.0% below normal
Baltic Dry Index 3,258 -8.97%

Oil Tanker Rate(Arabian Gulf to US Gulf Coast) 37.50 +7.14%

Rail Freight Carloads 204,950 -1.11%

Iraqi 2028 Govt Bonds 77.31 +2.44%

Best Performing Style
Small-Cap Value +1.81%

Worst Performing Style
Large-Cap Value -.25%

Leading Sectors
Disk Drives +6.66%

Coal +6.03%

Hospitals +4.76%

Construction +4.0%
HMOs +3.27%

Lagging Sectors
Telecom -2.37%
Retail -2.39%
Steel -2.56%

Agriculture -3.56%
Gold -4.15%

One-Week High-Volume Gainers

One-Week High-Volume Losers

*5-Day Change

Stocks Finish at Session Highs, Boosted By Technology, Financial, Restaurant and Biotech Shares

Posted by Gary .....at 4:03 PM

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Stocks Higher into Final Hour on Tech Sector Strength, Less Financial Sector Pessimism, Short-Covering

Posted by Gary .....at 3:41 PM

BOTTOM LINE: The Portfolio is higher into the final hour on gains in my Biotech longs, Technology longs and Financial longs. I covered all my (IWM)/(QQQQ) hedges and some of my (EEM) short today, thus leaving the Portfolio 100% net long. The tone of the market is mildly positive as the advance/decline line is higher, sector performance is mixed and volume is heavy. Investor anxiety is high. Today’s overall market action is bullish. The VIX is falling -2.27% and is high at 22.0. The ISE Sentiment Index is below average at 120.0 and the total put/call is above average at 1.0. Finally, the NYSE Arms has been running below average most of the day, hitting .32 at its intraday trough, and is currently .66. The Euro Financial Sector Credit Default Swap Index is falling -2.23% to 68.41 basis points. This index is down from its record March 10th high of 208.75. The North American Investment Grade Credit Default Swap Index is falling -2.24% to 89.39 basis points. This index is also well below its Dec. 5^th record high of 285.99. The TED spread is down -1 basis point to 21 basis points. The TED spread is now down 444 basis points since its all-time high of 463 basis points on October 10th. The 2-year swap spread is falling -3.04% to 33.71 basis points. The Libor-OIS spread is unch. at 10 basis points. The 10-year TIPS spread, a good gauge of inflation expectations, is up +2 basis points to 2.28%, which is down -37 basis points since July 7th. The 3-month T-Bill is yielding .04%, which is unch. today. Small-cap and cyclical shares are outperforming. Restaurant, Biotech, Bank, I-Bank, Wireless, Software and Coal shares are especially strong, rising 1%+. (XLF) is trading much better today and (IYR) is at session highs. On the negative side, breadth is mediocre and a number of sectors are lower despite tech sector leadership. The Shanghai Composite fell another 2.05% last night and broke down through its 50-day moving average. Nikkei futures indicate an +40 open in Japan and DAX futures indicate an +52 open in Germany on Monday. I expect US stocks to trade mixed-to-higher into the close from current levels on less financial sector pessimism, short-covering, technical buying and seasonal strength.

Bear Radar

Posted by Gary .....at 2:01 PM

Style Underperformer:
Mid-Cap Value (+.06%)

Sector Underperformers:
Steel (-1.47%), Airlines (-1.41%) and Agriculture (-.75%)

Stocks Falling on Unusual Volume:

CTCM, TUP, BCR and CQB

Stocks With Unusual Put Option Activity:
1) RYL 2) WFR 3) SYY 4) SVNT 5) CECO

Bull Radar

Posted by Gary .....at 9:43 AM

Style Outperformer:
Large-Cap Growth (+.58%)

Sector Outperformers:
Software (+2.29%), Wireless (+1.69%) and Biotech (+1.27%)

Stocks Rising on Unusual Volume:
CELG, VRSN, ORCL, GMXR, CHK, REGN, MRVL, TSM, BBL, LGCY, ARCC, TDS, RIMM, RYAAY, ABFS, CSKI, ODFL, SAIA, NDSN, FACT, AEIS, CAVM, BOBE, BIIB, RBCN, ADVS, HEI, CJR and KMX

Stocks With Unusual Call Option Activity:
1) ARIA 2) NITE 3) ORCL 4) CELG 5) MRVL