Thursday, January 22, 2015

Stocks Surging into Final Hour on Central Bank Hopes, Less European Debt Angst, Yen Weakness, Financial/Transport Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Slightly Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.53 -12.31%
  • Euro/Yen Carry Return Index 140.52 -1.79%
  • Emerging Markets Currency Volatility(VXY) 10.58 -2.76%
  • S&P 500 Implied Correlation 63.17 -3.08%
  • ISE Sentiment Index 210.0 +176.32%
  • Total Put/Call .93 -13.08%
  • NYSE Arms .97 +52.75% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.96 -2.80%
  • America Energy Sector High-Yield CDS Index 737.0 -.26%
  • European Financial Sector CDS Index 59.98 -3.85%
  • Western Europe Sovereign Debt CDS Index 24.87 -4.24%
  • Asia Pacific Sovereign Debt CDS Index 70.08 -1.93%
  • Emerging Market CDS Index 394.29 -.60%
  • China Blended Corporate Spread Index n/a
  • 2-Year Swap Spread 24.75 +.5 basis point
  • TED Spread 23.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.5 +2.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 138.0 +2.0 basis points
  • China Import Iron Ore Spot $66.79/Metric Tonne -1.5%
  • Citi US Economic Surprise Index 4.0 -1.5 points
  • Citi Eurozone Economic Surprise Index -3.6 -.2 point
  • Citi Emerging Markets Economic Surprise Index -12.10 +.1 point
  • 10-Year TIPS Spread 1.64 +3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +276 open in Japan
  • DAX Futures: Indicating +81 open in Germany
Portfolio: 
  • Higher: On gains in my medical/retail/tech sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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