Thursday, July 25, 2013

Stocks Reversing Higher into Final Hour on Central Bank Hopes, Earnings Optimism, Short-Covering, Tech/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.03 -1.14%
  • Euro/Yen Carry Return Index 137.47 -.38%
  • Emerging Markets Currency Volatility(VXY) 9.23 +1.43%
  • S&P 500 Implied Correlation 50.93 -3.01%
  • ISE Sentiment Index 101.0 +16.0%
  • Total Put/Call .93 -4.12%
  • NYSE Arms .84 -3.43% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.71 +.46%
  • European Financial Sector CDS Index 148.64 +3.78%
  • Western Europe Sovereign Debt CDS Index 89.0 -2.20%
  • Emerging Market CDS Index 294.91 +.64%
  • 2-Year Swap Spread 15.0 -.75 bp
  • TED Spread 24.75 +.25 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.5 -.25 bp
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 225.0 +2 bps
  • China Import Iron Ore Spot $132.10/Metric Tonne unch.
  • Citi US Economic Surprise Index -4.70 +2.8 points
  • Citi Emerging Markets Economic Surprise Index -29.80 +1.0 point
  • 10-Year TIPS Spread 2.15 unch.
Overseas Futures:
  • Nikkei Futures: Indicating -132 open in Japan
  • DAX Futures: Indicating +31 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/retail/medical/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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