Tuesday, June 25, 2013

Stocks Rising into Final Hour on Less Asian/Eurozone Debt Angst, Quarter-End Window Dressing, Short-Covering, Financial/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 18.13 -9.85%
  • Euro/Yen Carry Return Index 133.51 -.11%
  • Emerging Markets Currency Volatility(VXY) 11.30 -3.67%
  • S&P 500 Implied Correlation 60.04 -2.09%
  • ISE Sentiment Index 92.0 -9.52%
  • Total Put/Call 1.09 +7.92%
  • NYSE Arms .61 -54.35% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 91.43 -6.42%
  • European Financial Sector CDS Index 181.04 -4.81%
  • Western Europe Sovereign Debt CDS Index 97.0 +1.57%
  • Emerging Market CDS Index 350.89 -5.24%
  • 2-Year Swap Spread 17.0 -2.5 bps
  • TED Spread 22.0 -1.5 bps
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.75 +1.0 bp
Economic Gauges:
  • 3-Month T-Bill Yield .06% +2 bps
  • Yield Curve 219.0 +2 bps
  • China Import Iron Ore Spot $114.0/Metric Tonne -2.23%
  • Citi US Economic Surprise Index 1.30 +9.4 points
  • Citi Emerging Markets Economic Surprise Index -38.20 +.4 point 
  • 10-Year TIPS Spread 1.96 +4 bps
Overseas Futures:
  • Nikkei Futures: Indicating +325 open in Japan
  • DAX Futures: Indicating +30 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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