Monday, March 09, 2015

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
  • Volume: Below Average
  • 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%
  • NYSE Arms 1.09 +37.16% 
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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