Wednesday, March 18, 2015

Stocks Reversing Higher into Afternoon on Dovish Fed Commentary, Euro/Oil Bounce, Less US High-Yield Debt Angst, Homebuilding/Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.22 +3.58%
  • Euro/Yen Carry Return Index 134.65 +.26%
  • Emerging Markets Currency Volatility(VXY) 10.71 -.65%
  • S&P 500 Implied Correlation 60.71 +2.29%
  • ISE Sentiment Index 71.0 -20.22%
  • Total Put/Call 1.08 +12.50%
  • NYSE Arms .93 -15.84% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.34 -1.12%
  • America Energy Sector High-Yield CDS Index 736.0 -5.59%
  • European Financial Sector CDS Index 59.42 +4.52%
  • Western Europe Sovereign Debt CDS Index 23.20 +6.71%
  • Asia Pacific Sovereign Debt CDS Index 66.82 +1.55%
  • Emerging Market CDS Index 421.46 +.19%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.99 +.05%
  • 2-Year Swap Spread 25.50 -1.5 basis points
  • TED Spread 22.50 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.5 -.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .03% -2.0 basis points
  • Yield Curve 139.0 unch.
  • China Import Iron Ore Spot $55.48/Metric Tonne -2.58%
  • Citi US Economic Surprise Index -71.90 +.1 point
  • Citi Eurozone Economic Surprise Index 40.50 -.3 point
  • Citi Emerging Markets Economic Surprise Index .6 -1.7 points
  • 10-Year TIPS Spread 1.73 +8.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating -20 open in Japan
  • DAX Futures: Indicating +58 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/tech sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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