Monday, December 16, 2013

Stocks Rising into Final Hour on Diminished Global Growth Fears, Stable Long-Term Rates, Short-Covering, Tech/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.88 +.76%
  • Euro/Yen Carry Return Index 147.81 -.10%
  • Emerging Markets Currency Volatility(VXY) 9.07 -.11%
  • S&P 500 Implied Correlation 53.15 -.37%
  • ISE Sentiment Index 199.0 +53.08%
  • Total Put/Call .80 -5.88%
  • NYSE Arms .75 -37.48% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.30 -.95%
  • European Financial Sector CDS Index 95.63 -1.61%
  • Western Europe Sovereign Debt CDS Index 57.65 +2.28%
  • Emerging Market CDS Index 275.64 -.56%
  • 2-Year Swap Spread 9.5 -.75 basis point
  • TED Spread 18.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap .75 -.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .06% unch.
  • Yield Curve 255.0 +1.0 basis point
  • China Import Iron Ore Spot $134.90/Metric Tonne -.81%
  • Citi US Economic Surprise Index 35.40 +3.3 points
  • Citi Emerging Markets Economic Surprise Index -15.3 -.3 point
  • 10-Year TIPS Spread 2.18 +2 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +307 open in Japan
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/tech/retail/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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