Friday, September 13, 2013

Stocks Slightly Higher into Final Hour on Global Growth Optimism, Diminished Syria/Russia Tensions, Short-Covering, Healthcare/Retail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.39 +.70%
  • Euro/Yen Carry Return Index 137.66 -.25%
  • Emerging Markets Currency Volatility(VXY) 10.38 -1.14%
  • S&P 500 Implied Correlation 47.02 +.99%
  • ISE Sentiment Index 111.0 +24.72%
  • Total Put/Call .75 -11.76%
  • NYSE Arms .90 -21.53% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.17 -.91%
  • European Financial Sector CDS Index 138.45 +.29%
  • Western Europe Sovereign Debt CDS Index 90.0 unch.
  • Emerging Market CDS Index 306.40 -1.38%
  • 2-Year Swap Spread 15.5 +.25 bp
  • TED Spread 24.50 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.5 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 245.0 -2 bps
  • China Import Iron Ore Spot $134.50/Metric Tonne -.52%
  • Citi US Economic Surprise Index 49.70 -7.1 points
  • Citi Emerging Markets Economic Surprise Index 3.60 -.2 point
  • 10-Year TIPS Spread 2.11 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +21 open in Japan
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 50% Net Long

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