Tuesday, June 18, 2013

Stocks Higher into Final Hour on Central Bank Hopes, Yen Weakness, Short-Covering, Tech/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.51 -1.73%
  • Euro/Yen Carry Return Index 133.05 +1.34
  • Emerging Markets Currency Volatility(VXY) 10.11 +2.12%
  • S&P 500 Implied Correlation 55.57 -.58%
  • ISE Sentiment Index 99.0 +20.73%
  • Total Put/Call .80 -15.79%
  • NYSE Arms .56 -21.36% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.98 +.10%
  • European Financial Sector CDS Index 155.95 +1.30%
  • Western Europe Sovereign Debt CDS Index 87.0 -2.79%
  • Emerging Market CDS Index 323.10 +1.64%
  • 2-Year Swap Spread 16.0 -.25 bp
  • TED Spread 22.5 -.75 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.5 +.25 bp
Economic Gauges:
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 193.0 +2 bps
  • China Import Iron Ore Spot $117.70/Metric Tonne +2.35%
  • Citi US Economic Surprise Index -14.80 -.8 point
  • Citi Emerging Markets Economic Surprise Index -46.2 +.3 point 
  • 10-Year TIPS Spread 2.08 +3 bps
Overseas Futures:
  • Nikkei Futures: Indicating +328 open in Japan
  • DAX Futures: Indicating +4 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/retail sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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