Monday, July 15, 2013

Stocks Slightly Higher into Final Hour on Less Eurozone/Asian Debt Angst, Central Bank Hopes, Short-Covering, Financial/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.51 -2.38%
  • Euro/Yen Carry Return Index 136.02 +.64%
  • Emerging Markets Currency Volatility(VXY) 9.94 -3.12%
  • S&P 500 Implied Correlation 51.53 -2.33%
  • ISE Sentiment Index 112.0 +55.56%
  • Total Put/Call .81 -8.99%
  • NYSE Arms .80 +1.01% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.85 -1.39%
  • European Financial Sector CDS Index 157.90 -.49%
  • Western Europe Sovereign Debt CDS Index 96.0 unch.
  • Emerging Market CDS Index 299.0 -6.41%
  • 2-Year Swap Spread 18.25 +1.0 bp
  • TED Spread 24.75 +1.5 bps
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.75 +.25 bp
Economic Gauges:
  • 3-Month T-Bill Yield .02% -2 bps
  • Yield Curve 222.0 -2 bps
  • China Import Iron Ore Spot $126.90/Metric Tonne +.08%
  • Citi US Economic Surprise Index -15.0 -3.3 points
  • Citi Emerging Markets Economic Surprise Index -36.20 +1.5 points
  • 10-Year TIPS Spread 2.08 +3 bps
Overseas Futures:
  • Nikkei Futures: Indicating +304 open in Japan
  • DAX Futures: Indicating +11 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/medical 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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