Monday, September 09, 2013

Stocks Surging into Final Hour on Dimished Syria Intervention Worries, Global Growth Optimism, Lower Long-Term Rates, Homebuilding/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 15.47 -2.40%
  • Euro/Yen Carry Return Index 137.68 +1.08%
  • Emerging Markets Currency Volatility(VXY) 10.81 -5.09%
  • S&P 500 Implied Correlation 48.49 -3.98%
  • ISE Sentiment Index 129.0 +32.99%
  • Total Put/Call .66 -25.0%
  • NYSE Arms .62 -30.10% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.72 -2.98%
  • European Financial Sector CDS Index 139.38 -4.57%
  • Western Europe Sovereign Debt CDS Index 91.65 +.72%
  • Emerging Market CDS Index 319.70 -3.17%
  • 2-Year Swap Spread 15.5 -.25 bp
  • TED Spread 24.55 +.25 bp
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.75 +.5 bp
Economic Gauges:
  • 3-Month T-Bill Yield .01% -1 bp
  • Yield Curve 247.0 unch.
  • China Import Iron Ore Spot $134.80/Metric Tonne +.52%
  • Citi US Economic Surprise Index 55.0 -1.5 points
  • Citi Emerging Markets Economic Surprise Index -14.0 +1.0 point
  • 10-Year TIPS Spread 2.07 -1 bp
Overseas Futures:
  • Nikkei Futures: Indicating +125 open in Japan
  • DAX Futures: Indicating +23 open in Germany
Portfolio: 
  • Higher: On gains in my tech/medical/retail/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

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