Thursday, November 14, 2013

Stocks Rising into Final Hour on Central Bank Hopes, Less Emerging Markets Debt Angst, Short-Covering, Homebuilding/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.32 -1.60%
  • Euro/Yen Carry Return Index 140.39 +.60%
  • Emerging Markets Currency Volatility(VXY) 8.87 -2.21%
  • S&P 500 Implied Correlation 33.70 -6.26%
  • ISE Sentiment Index 144.0 +23.08%
  • Total Put/Call .83 +2.47%
  • NYSE Arms .62 +30.62% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.03 +.02%
  • European Financial Sector CDS Index 109.13 -.34%
  • Western Europe Sovereign Debt CDS Index 62.33 -2.61%
  • Emerging Market CDS Index 291.85 -2.26%
  • 2-Year Swap Spread 11.0 unch.
  • TED Spread 16.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.75 +.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .07% unch.
  • Yield Curve 241.0 -1 basis point
  • China Import Iron Ore Spot $136.60/Metric Tonne +.37%
  • Citi US Economic Surprise Index 11.50 -6.5 points
  • Citi Emerging Markets Economic Surprise Index -12.10 +3.8 points
  • 10-Year TIPS Spread 2.19 +1 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +219 open in Japan
  • DAX Futures: Indicating -7 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my tech/retail sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and (EEM) short
  • Market Exposure: Moved to 75% Net Long

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