Wednesday, January 21, 2015

Stocks Rising into Final Hour on Central Bank Hopes, Commodity Bounce, Short-Covering, Healthcare/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.47 -2.11%
  • Euro/Yen Carry Return Index 142.75 -.37%
  • Emerging Markets Currency Volatility(VXY) 10.86 -2.25%
  • S&P 500 Implied Correlation 65.44 +1.88%
  • ISE Sentiment Index 85.0 +28.79%
  • Total Put/Call 1.09 +37.97%
  • NYSE Arms .63 -33.57% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.71 -1.97%
  • America Energy Sector High-Yield CDS Index 739.0 -.93%
  • European Financial Sector CDS Index 62.58 -2.47%
  • Western Europe Sovereign Debt CDS Index 25.97 +4.05%
  • Asia Pacific Sovereign Debt CDS Index 71.36 -4.71%
  • Emerging Market CDS Index 393.67 +1.12%
  • China Blended Corporate Spread Index n/a
  • 2-Year Swap Spread 24.25 -.25 basis point
  • TED Spread 23.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 +1.5 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .02% +1.0 basis point
  • Yield Curve 136.0 +5.0 basis points
  • China Import Iron Ore Spot $67.81/Metric Tonne -.51%
  • Citi US Economic Surprise Index 5.50 +.7 point
  • Citi Eurozone Economic Surprise Index -3.4 -.1 point
  • Citi Emerging Markets Economic Surprise Index -12.20 +1.6 points
  • 10-Year TIPS Spread 1.61 +1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +55 open in Japan
  • DAX Futures: Indicating +9 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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