Tuesday, December 24, 2013

Stocks Higher into Final Hour on Global Growth Optimism, Seasonality, Investor Performance Angst, Homebuilding/Commodity Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.63 -3.14%
  • Euro/Yen Carry Return Index 148.72 +.01%
  • Emerging Markets Currency Volatility(VXY) 9.02 -.11%
  • S&P 500 Implied Correlation 50.12 -.81%
  • ISE Sentiment Index 199.0 +61.8%
  • Total Put/Call .55 -9.84%
  • NYSE Arms .74 -11.04% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.42 -.56%
  • European Financial Sector CDS Index 85.62 -.09%
  • Western Europe Sovereign Debt CDS Index 60.75 -.16%
  • Emerging Market CDS Index 267.28 +.68%
  • 2-Year Swap Spread 10.0 +.75 basis point
  • TED Spread 18.0 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.75 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .07% +1 basis point
  • Yield Curve 258.0 +4.0 basis points
  • China Import Iron Ore Spot $132.0/Metric Tonne +.08%
  • Citi US Economic Surprise Index 48.4 +3.5 points
  • Citi Emerging Markets Economic Surprise Index -10.40 +.7 point
  • 10-Year TIPS Spread 2.19 +2 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +85 open in Japan
  • DAX Futures: Indicating +3 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs and index hedges
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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