Friday, January 10, 2014

Stocks Slightly Higher into Final Hour on Lower Long-Term Rates, Less Emerging Markets Debt Angst, Short-Covering, Metals & Mining/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 12.42 -3.65%
  • Euro/Yen Carry Return Index 148.32 -.30%
  • Emerging Markets Currency Volatility(VXY) 8.47 -4.83%
  • S&P 500 Implied Correlation 49.23 -1.97%
  • ISE Sentiment Index 97.0 -30.71%
  • Total Put/Call .74 unch.
  • NYSE Arms 1.24 +10.82% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.78 -2.11%
  • European Financial Sector CDS Index 86.0 -.17%
  • Western Europe Sovereign Debt CDS Index 50.0 unch.
  • Emerging Market CDS Index 280.48 -.33%
  • 2-Year Swap Spread 12.0 +.25 basis point
  • TED Spread 20.50 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.75 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 249.0 -5 basis points
  • China Import Iron Ore Spot $130.70/Metric Tonne -.23%
  • Citi US Economic Surprise Index 65.50 +1.6 points
  • Citi Emerging Markets Economic Surprise Index -.9 -5.6 points
  • 10-Year TIPS Spread 2.27 -3 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -52 open in Japan
  • DAX Futures: Indicating +27 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges 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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