Monday, January 26, 2015

Stocks Reversing Slightly Higher into Final Hour on Central Bank Hopes, Yen Weakness, Short-Covering, Gaming/Hospital Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.0 -3.96%
  • Euro/Yen Carry Return Index 139.32 +1.02%
  • Emerging Markets Currency Volatility(VXY) 10.28 -3.38%
  • S&P 500 Implied Correlation 65.22 +.38%
  • ISE Sentiment Index 68.0 +9.68%
  • Total Put/Call .89 -29.37%
  • NYSE Arms .83 -48.96% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.22 -2.28%
  • America Energy Sector High-Yield CDS Index 725.0 -.75%
  • European Financial Sector CDS Index 57.46 -.70%
  • Western Europe Sovereign Debt CDS Index 23.58 +1.55%
  • Asia Pacific Sovereign Debt CDS Index 67.99 +1.48%
  • Emerging Market CDS Index 391.37 +.79%
  • iBoxx RMB China Corporates High Yield Index 111.78 +.02%
  • 2-Year Swap Spread 25.25 unch.
  • TED Spread 24.5 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.75 +1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% -1.0 basis point
  • Yield Curve 131.0 unch.
  • China Import Iron Ore Spot $63.54/Metric Tonne -4.34%
  • Citi US Economic Surprise Index -3.70 -2.2 points
  • Citi Eurozone Economic Surprise Index -.4 +.1 point
  • Citi Emerging Markets Economic Surprise Index -10.50 -.2 point
  • 10-Year TIPS Spread 1.61 +1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +247 open in Japan
  • DAX Futures: Indicating +29 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/retail sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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