Wednesday, June 26, 2013

Stocks Higher into Final Hour on Less Eurozone/Asian Debt Angst, Lower Long-Term Rates, Window-Dressing, Biotech/REIT Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.30 -6.33%
  • Euro/Yen Carry Return Index 132.67 -.60%
  • Emerging Markets Currency Volatility(VXY) 11.32 +.80%
  • S&P 500 Implied Correlation 58.34 -3.35%
  • ISE Sentiment Index 72.0 -27.27%
  • Total Put/Call .84 -21.50%
  • NYSE Arms 1.13 +86.61% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 88.22 -4.44%
  • European Financial Sector CDS Index 168.05 -7.2%
  • Western Europe Sovereign Debt CDS Index 96.19 -.84%
  • Emerging Market CDS Index 336.14 -4.39%
  • 2-Year Swap Spread 14.50 -2.5 bps
  • TED Spread 22.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.25 +2.5 bps
Economic Gauges:
  • 3-Month T-Bill Yield .06% unch.
  • Yield Curve 215.0 -4 bps
  • China Import Iron Ore Spot $113.80/Metric Tonne -.18%
  • Citi US Economic Surprise Index -8.0 -9.3 points
  • Citi Emerging Markets Economic Surprise Index -37.10 +1.1 points 
  • 10-Year TIPS Spread 1.95 -1 bp
Overseas Futures:
  • Nikkei Futures: Indicating +341 open in Japan
  • DAX Futures: Indicating +16 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/retail/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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