Monday, February 02, 2015

Stocks Higher into Final Hour on Oil Bounce, Short-Covering, Bargain-Hunting, Commodity/Construction Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Slightly Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.31 +1.62%
  • Euro/Yen Carry Return Index 139.03 +.37%
  • Emerging Markets Currency Volatility(VXY) 10.98 +.18%
  • S&P 500 Implied Correlation 67.50 -1.56%
  • ISE Sentiment Index 98.0 unch.
  • Total Put/Call 1.07 -4.46%
  • NYSE Arms .67 -52.67% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.16 -.28%
  • America Energy Sector High-Yield CDS Index 768.0 +.37%
  • European Financial Sector CDS Index 66.73 -2.63%
  • Western Europe Sovereign Debt CDS Index 26.33 +4.61%
  • Asia Pacific Sovereign Debt CDS Index 71.21 -.18%
  • Emerging Market CDS Index 401.26 -.88%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.47 -.01%
  • 2-Year Swap Spread 23.75 -.25 basis point
  • TED Spread 24.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.5 -.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 120.0 unch.
  • China Import Iron Ore Spot $62.45/Metric Tonne +.39%
  • Citi US Economic Surprise Index -8.50 -4.45 points
  • Citi Eurozone Economic Surprise Index 12.0 +2.0 points
  • Citi Emerging Markets Economic Surprise Index -5.20 -.4 point
  • 10-Year TIPS Spread 1.64 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +37 open in Japan
  • DAX Futures: Indicating -12 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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