Friday, June 13, 2014

Stocks Slightly Higher into Final Hour on Yen Weakness, Buyout Speculation, Short-Covering, Tech/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 11.96 -4.78%
  • Euro/Yen Carry Return Index 144.12 +.16%
  • Emerging Markets Currency Volatility(VXY) 6.59 +1.38%
  • S&P 500 Implied Correlation 52.68 -2.77%
  • ISE Sentiment Index 76.0 unch.
  • Total Put/Call .68 -13.92%
  • NYSE Arms .67 -59.77% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.67 -.97%
  • European Financial Sector CDS Index 60.23 +.35%
  • Western Europe Sovereign Debt CDS Index 28.40 +1.12%
  • Asia Pacific Sovereign Debt CDS Index 77.41 +.25%
  • Emerging Market CDS Index 246.57 +.05%
  • China Blended Corporate Spread Index 314.39 +.92%
  • 2-Year Swap Spread 14.5 -.25 basis point
  • TED Spread 20.25 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.75 -1.75 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 215.0 -2.0 basis points
  • China Import Iron Ore Spot $90.90/Metric Tonne -.66%
  • Citi US Economic Surprise Index -19.50 -1.9 points
  • Citi Emerging Markets Economic Surprise Index -6.10 +.5 point
  • 10-Year TIPS Spread 2.18 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating -3 open in Japan
  • DAX Futures: Indicating -5 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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