Monday, August 12, 2013

Stocks Slightly Higher into Final Hour on Dimishing Global Growth Fears, Less Emerging Markets Debt Angst, Short-Covering, Tech/Metals & Mining Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.03 -2.83%
  • Euro/Yen Carry Return Index 134.13 +.20%
  • Emerging Markets Currency Volatility(VXY) 9.0 +.11%
  • S&P 500 Implied Correlation 49.65 -2.61%
  • ISE Sentiment Index 133.0 +52.87%
  • Total Put/Call .78 -13.33%
  • NYSE Arms 1.04 +16.82% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.79 +.52%
  • European Financial Sector CDS Index 136.51 -.10%
  • Western Europe Sovereign Debt CDS Index 83.0 -.29%
  • Emerging Market CDS Index 293.18 -1.18%
  • 2-Year Swap Spread 17.0 -.5 bp
  • TED Spread 21.50 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.75 -.25 bp
Economic Gauges:
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 230.0 +3 bps
  • China Import Iron Ore Spot $138.70/Metric Tonne +4.2%
  • Citi US Economic Surprise Index 38.0 +1.1 points
  • Citi Emerging Markets Economic Surprise Index -29.80 unch.
  • 10-Year TIPS Spread 2.25 -1 bp
Overseas Futures:
  • Nikkei Futures: Indicating +86 open in Japan
  • DAX Futures: Indicating -2 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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