Tuesday, December 31, 2013

Stocks Slightly Higher into Final Hour on Weaker Yen, Seasonality, Investor Performance Angst, Commodity/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.29 +5.4%
  • Euro/Yen Carry Return Index 150.97 -.27%
  • Emerging Markets Currency Volatility(VXY) 9.24 -.11%
  • S&P 500 Implied Correlation 50.63 unch.
  • ISE Sentiment Index 178.0 +93.48%
  • Total Put/Call .65 -10.96%
  • NYSE Arms 1.02 -.97% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.34 -2.20%
  • European Financial Sector CDS Index 87.20 -.30%
  • Western Europe Sovereign Debt CDS Index 59.69 -.43%
  • Emerging Market CDS Index 273.80 +.03%
  • 2-Year Swap Spread 10.5 +1.0 basis point
  • TED Spread 18.0 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.25 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .07% +1.0 basis point
  • Yield Curve 265.0 +6.0 basis points
  • China Import Iron Ore Spot $134.20/Metric Tonne unch.
  • Citi US Economic Surprise Index 52.20 +2.0 points
  • Citi Emerging Markets Economic Surprise Index -6.40 +.3 point
  • 10-Year TIPS Spread 2.23 +2.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +99 open in Japan
  • DAX Futures: Indicating +49 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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