Thursday, June 27, 2013

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

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.72 -2.85%
  • Euro/Yen Carry Return Index 133.78 +.92%
  • Emerging Markets Currency Volatility(VXY) 11.07 -1.77%
  • S&P 500 Implied Correlation 58.28 -1.49%
  • ISE Sentiment Index 62.0 -24.29%
  • Total Put/Call .99 +16.47%
  • NYSE Arms 1.16 +23.78% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 85.87 -2.42%
  • European Financial Sector CDS Index 163.30 -2.79%
  • Western Europe Sovereign Debt CDS Index 95.0 -1.24%
  • Emerging Market CDS Index 318.38 -4.93%
  • 2-Year Swap Spread 15.0 +.5 bp
  • TED Spread 22.75 +.75 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.50 +1.25 bp
Economic Gauges:
  • 3-Month T-Bill Yield .05% -1 bp
  • Yield Curve 211.0 -4 bps
  • China Import Iron Ore Spot $115.30/Metric Tonne +1.32%
  • Citi US Economic Surprise Index -7.10 +.9 point
  • Citi Emerging Markets Economic Surprise Index -36.30 +.8 point 
  • 10-Year TIPS Spread 1.98 +3 bps
Overseas Futures:
  • Nikkei Futures: Indicating +357 open in Japan
  • DAX Futures: Indicating -8 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/retail/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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