Monday, August 18, 2014

Stocks Surging into Final Hour on Diminished Russia/Ukraine Tensions, Buyout Speculation, Central Bank Hopes, Homebuilding/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.55 +9.10%
  • Euro/Yen Carry Return Index 143.09 -.08%
  • Emerging Markets Currency Volatility(VXY) 6.77 -.73%
  • S&P 500 Implied Correlation 49.24 -2.78%
  • ISE Sentiment Index 96.0 +28.0%
  • Total Put/Call .92 -7.07%
  • NYSE Arms .82 -35.81% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.19 -3.98%
  • European Financial Sector CDS Index 65.50 -5.75%
  • Western Europe Sovereign Debt CDS Index 34.0 +.34%
  • Asia Pacific Sovereign Debt CDS Index 70.46 -1.25%
  • Emerging Market CDS Index 269.47 -1.30%
  • China Blended Corporate Spread Index 316.05 +1.08%
  • 2-Year Swap Spread 23.25 +1.0 basis point
  • TED Spread 20.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 -1.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 197.0 +4.0 basis points
  • China Import Iron Ore Spot $93.30/Metric Tonne -.11%
  • Citi US Economic Surprise Index -2.0 +3.7 points
  • Citi Emerging Markets Economic Surprise Index -12.30 -4.5 points
  • 10-Year TIPS Spread 2.19 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +108 open in Japan
  • DAX Futures: Indicating +16 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/tech/medical/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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