Stocks Rising into Final Hour on Lower Long-Term Rates, Oil Bounce, Yen Weakness, Defense/Healthcare Sector Strength
Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.08 -.79%
- Euro/Yen Carry Return Index 137.52 +.50%
- Emerging Markets Currency Volatility(VXY) 10.49 +1.29%
- S&P 500 Implied Correlation 59.90 -1.42%
- ISE Sentiment Index 65.0 +18.54%
- Total Put/Call 1.22 +28.42%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.89 +1.50%
- America Energy Sector High-Yield CDS Index 692.0 +.26%
- European Financial Sector CDS Index 57.02 +4.68%
- Western Europe Sovereign Debt CDS Index 20.34 -.76%
- Asia Pacific Sovereign Debt CDS Index 65.22 +1.23%
- Emerging Market CDS Index 404.61 +3.67%
- iBoxx Offshore RMB China Corporates High Yield Index 113.86 -.27%
- 2-Year Swap Spread 27.0 +1.25 basis points
- TED Spread 26.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.5 +.75 basis point
Economic Gauges:
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 150.0 -2.0 basis points
- China Import Iron Ore Spot $58.58/Metric Tonne -1.53%
- Citi US Economic Surprise Index -49.0 -1.5 points
- Citi Eurozone Economic Surprise Index 49.5 +.2 point
- Citi Emerging Markets Economic Surprise Index 12.20 +18.1 points
- 10-Year TIPS Spread 1.77 -7.0 basis points
Overseas Futures:
- Nikkei Futures: Indicating +88 open in Japan
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Higher: On losses in my tech/medical/retail 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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