Tuesday, December 23, 2014

Stocks Mostly Higher into Final Hour on US Economic Data, Seasonal Strength, Yen Weakness, Gaming/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 14.50 -4.92%
  • Euro/Yen Carry Return Index 153.46 +.09%
  • Emerging Markets Currency Volatility(VXY) 10.82 -2.08%
  • S&P 500 Implied Correlation 64.49 +1.24%
  • ISE Sentiment Index 69.0 -29.59%
  • Total Put/Call .85 +11.84%
  • NYSE Arms .87 -19.95% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.30 -1.05% 
  • America Energy Sector High-Yield CDS Index 629.0 +3.62%
  • European Financial Sector CDS Index 62.38 -1.39%
  • Western Europe Sovereign Debt CDS Index 27.74 +3.80%
  • Asia Pacific Sovereign Debt CDS Index 64.55 -1.01%
  • Emerging Market CDS Index 324.22 +1.74%
  • China Blended Corporate Spread Index 343.30 -.36%
  • 2-Year Swap Spread 18.5 -4.75 basis points
  • TED Spread 21.75 -1.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.25 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 152.0 +2.0 basis points
  • China Import Iron Ore Spot $66.84/Metric Tonne -1.56%
  • Citi US Economic Surprise Index 36.90 4.2 points
  • Citi Eurozone Economic Surprise Index 2.10 +.2 point
  • Citi Emerging Markets Economic Surprise Index -14.0 -1.2 points
  • 10-Year TIPS Spread 1.71 +4.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +320 open in Japan
  • DAX Futures: Indicating +6 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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