Thursday, December 26, 2013

Stocks Rising into Final Hour on Yen Weakness, Seasonality, Investor Performance Angst, Defense/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.11 -2.96%
  • Euro/Yen Carry Return Index 149.61 +.60%
  • Emerging Markets Currency Volatility(VXY) 9.04 +.11%
  • S&P 500 Implied Correlation 49.27 -2.03%
  • ISE Sentiment Index 151.0 -15.17%
  • Total Put/Call .65 unch.
  • NYSE Arms .59 -2.48% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.98 -.64%
  • European Financial Sector CDS Index 85.23 unch.
  • Western Europe Sovereign Debt CDS Index 60.76 +.02%
  • Emerging Market CDS Index 267.44 +.17%
  • 2-Year Swap Spread 9.75 -.25 basis point
  • TED Spread 18.50 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.0 -6.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .06% -1 basis point
  • Yield Curve 258.0 unch.
  • China Import Iron Ore Spot $132.10/Metric Tonne +.08%
  • Citi US Economic Surprise Index 49.4 +1.0 point
  • Citi Emerging Markets Economic Surprise Index -9.70 +.7 point
  • 10-Year TIPS Spread 2.20 +1 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +115 open in Japan
  • DAX Futures: Indicating +2 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/retail/tech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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