Friday, June 21, 2013

Stocks Slightly Higher into Final Hour on Options Expiration, Short-Covering, Utility/REIT Sector Strength

Today's Market Take:

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Slightly Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 18.37 -10.35%
  • Euro/Yen Carry Return Index 133.78 -.21%
  • Emerging Markets Currency Volatility(VXY) 11.81 -.51%
  • S&P 500 Implied Correlation 56.17 -5.04%
  • ISE Sentiment Index 74.0 +80.49%
  • Total Put/Call 1.17 -15.22%
  • NYSE Arms .79 -13.06% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 93.93 +.98%
  • European Financial Sector CDS Index 180.56 +4.0%
  • Western Europe Sovereign Debt CDS Index 95.0 +1.06%
  • Emerging Market CDS Index 377.77 +1.56%
  • 2-Year Swap Spread 20.0 +1.75 bps
  • TED Spread 23.75 +.5 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.0 -.5 bp
Economic Gauges:
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 216.0 +10 bps
  • China Import Iron Ore Spot $118.60/Metric Tonne -1.66%
  • Citi US Economic Surprise Index -12.0 +.9 point
  • Citi Emerging Markets Economic Surprise Index -43.70 +1.1 points 
  • 10-Year TIPS Spread 1.94 -3 bps
Overseas Futures:
  • Nikkei Futures: Indicating +230 open in Japan
  • DAX Futures: Indicating +43 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my emerging markets shorts and tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 25% Net Long

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