Tuesday, December 16, 2014

Stocks Slightly Higher into Final Hour on Central Bank Hopes, Oil Bounce, Short-Covering, Energy/Defense Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Slightly Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.84 +2.06%
  • Euro/Yen Carry Return Index 152.91 -.09%
  • Emerging Markets Currency Volatility(VXY) 11.41 +5.26%
  • S&P 500 Implied Correlation 67.10 -1.25%
  • ISE Sentiment Index 109.0 +81.67%
  • Total Put/Call .95 -9.52%
  • NYSE Arms .63 -53.90% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 75.35 +1.24% 
  • America Energy Sector High-Yield CDS Index 672.0 +1.04%
  • European Financial Sector CDS Index 72.37 +2.18%
  • Western Europe Sovereign Debt CDS Index 33.12 +4.58%
  • Asia Pacific Sovereign Debt CDS Index 77.25 +3.57%
  • Emerging Market CDS Index 417.70 +.08%
  • China Blended Corporate Spread Index 345.85 +.20%
  • 2-Year Swap Spread 23.25 -.5 basis point
  • TED Spread 22.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.25 -.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .03% +2.0 basis points
  • Yield Curve 151.0 -2.0 basis points
  • China Import Iron Ore Spot $68.58/Metric Tonne -.70%
  • Citi US Economic Surprise Index 31.40 -3.0 points
  • Citi Eurozone Economic Surprise Index -3.0 +16.6 points
  • Citi Emerging Markets Economic Surprise Index -13.70 +1.5 points
  • 10-Year TIPS Spread 1.64 +2.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +50 open in Japan
  • DAX Futures: Indicating -75 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my retail/tech sector longs and index hedges
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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