Wednesday, March 20, 2013

Stocks Rising into Final Hour on Less Eurozone Debt Angst, More Dovish Fed Commentary, Earnings Optimism, Homebuilding/Gaming Sector Strength

Broad Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • VIX 12.36 -14.11%
  • ISE Sentiment Index 119.0 -37.68%
  • Total Put/Call .78 -19.59%
  • NYSE Arms .75 -35.02%
Credit Investor Angst:
  • North American Investment Grade CDS Index 89.09 +8.8% (new series)
  • European Financial Sector CDS Index 166.51 +2.69%
  • Western Europe Sovereign Debt CDS Index 100.90 -.10%
  • Emerging Market CDS Index 244.35 -.73%
  • 2-Year Swap Spread 17.0 -1.0 bp
  • TED Spread 21.75 +.75 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.25 +2.0 bps
Economic Gauges:
  • 3-Month T-Bill Yield .07% +1 bp
  • Yield Curve 170.0 +4 bps
  • China Import Iron Ore Spot $134.10/Metric Tonne -.22%
  • Citi US Economic Surprise Index 27.20 +.3 point
  • 10-Year TIPS Spread 2.54 +2 bps
Overseas Futures:
  • Nikkei Futures: Indicating +169 open in Japan
  • DAX Futures: Indicating +9 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail, tech, medical and biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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