Thursday, July 11, 2013

Stocks Surging into Final Hour on Central Bank Hopes, Less Eurozone/Asian Debt Angst, Short-Covering, Homebuilding/Commodity Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Gaining
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.90 -2.18%
  • Euro/Yen Carry Return Index 134.99 +.17%
  • Emerging Markets Currency Volatility(VXY) 10.49 +.48%
  • S&P 500 Implied Correlation 51.36 +2.01%
  • ISE Sentiment Index 61.0 -14.08%
  • Total Put/Call 1.05 +2.94%
  • NYSE Arms .75 -44.19% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.98 -4.14%
  • European Financial Sector CDS Index 154.66 -2.09%
  • Western Europe Sovereign Debt CDS Index 96.09 +.10%
  • Emerging Market CDS Index 323.86 -3.86%
  • 2-Year Swap Spread 17.0 unch.
  • TED Spread 23.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.75 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 224.0 -7 bps
  • China Import Iron Ore Spot $125.20/Metric Tonne +1.05%
  • Citi US Economic Surprise Index -11.90 -1.7 points
  • Citi Emerging Markets Economic Surprise Index -31.70 +2.0 points
  • 10-Year TIPS Spread 2.03 -2 bps
Overseas Futures:
  • Nikkei Futures: Indicating +137 open in Japan
  • DAX Futures: Indicating +36 open in Germany
Portfolio: 
  • Higher: On gains in my tech, retail, medical and biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

No comments: