Monday, December 09, 2013

Stocks Slightly Higher into Final Hour on Stable Long-Term Rates, Weak Yen, Investor Performance Angst, Metals & Mining/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.90 +.80%
  • Euro/Yen Carry Return Index 147.88 +.55%
  • Emerging Markets Currency Volatility(VXY) 9.01 -1.64%
  • S&P 500 Implied Correlation 50.62 +1.08%
  • ISE Sentiment Index 127.0 -14.19%
  • Total Put/Call .92 +6.98%
  • NYSE Arms .58 -33.22% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.60 -2.77%
  • European Financial Sector CDS Index 96.44 -4.45%
  • Western Europe Sovereign Debt CDS Index 61.33 -4.17%
  • Emerging Market CDS Index 287.40 -1.57%
  • 2-Year Swap Spread 9.25 +.5 basis point
  • TED Spread 19.25 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap 1.75 +1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .05% -1.0 basis point
  • Yield Curve 255.0 -1.0 basis point
  • China Import Iron Ore Spot $139.40/Metric Tonne +.14%
  • Citi US Economic Surprise Index 33.0 +.5 point
  • Citi Emerging Markets Economic Surprise Index -15.20 -1.5 points
  • 10-Year TIPS Spread 2.13 +1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +29 open in Japan
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/retail sector longs
  • Disclosed Trades: Added to my (IWM), (QQQ) hedges, then covered some of them
  • Market Exposure: 50% Net Long

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