Monday, December 23, 2013

Stocks Rising into Afternoon on Global Growth Optimism, Investor Performance Angst, Seasonality, Tech/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.19 -4.35%
  • Euro/Yen Carry Return Index 148.58 +.11%
  • Emerging Markets Currency Volatility(VXY) 9.01 -1.1%
  • S&P 500 Implied Correlation 50.93 -1.03%
  • ISE Sentiment Index 133.0 -30.73%
  • Total Put/Call .64 -13.51%
  • NYSE Arms .97 -26.65% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.22 -1.99%
  • European Financial Sector CDS Index 85.70 -1.87%
  • Western Europe Sovereign Debt CDS Index 60.85 +.85%
  • Emerging Market CDS Index 265.20 -.90%
  • 2-Year Swap Spread 9.25 +1.25 basis points
  • TED Spread 18.5 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.75 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .06% +1 basis point
  • Yield Curve 254.0 +3.0 basis points
  • China Import Iron Ore Spot $131.90/Metric Tonne -.60%
  • Citi US Economic Surprise Index 44.9 -2.1 points
  • Citi Emerging Markets Economic Surprise Index -11.1 +.9 point
  • 10-Year TIPS Spread 2.17 +1 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +255 open in Japan
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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