Thursday, March 12, 2015

Stocks Surging into Final Hour on Central Bank Hopes, Euro Bounce, Less Emerging Markets Debt Angst, Financial/Utility Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.65 -7.23%
  • Euro/Yen Carry Return Index 134.47 +.50%
  • Emerging Markets Currency Volatility(VXY) 10.63 -.56%
  • S&P 500 Implied Correlation 61.68 -.65%
  • ISE Sentiment Index 76.0 23.23%
  • Total Put/Call 1.07 -3.60%
  • NYSE Arms 1.26 +41.92% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 64.26 -1.52%
  • America Energy Sector High-Yield CDS Index 723.0 -2.18%
  • European Financial Sector CDS Index 56.29 -.83%
  • Western Europe Sovereign Debt CDS Index 20.90 +1.98%
  • Asia Pacific Sovereign Debt CDS Index 65.30 -2.99%
  • Emerging Market CDS Index 408.32 -.91%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.76 -.06%
  • 2-Year Swap Spread 27.5 +1.0 basis point
  • TED Spread 25.25 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.0 +2.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 144.0 +2.0 basis points
  • China Import Iron Ore Spot $57.97/Metric Tonne +.62%
  • Citi US Economic Surprise Index -55.60 -5.1 points
  • Citi Eurozone Economic Surprise Index 45.3 -1.0 point
  • Citi Emerging Markets Economic Surprise Index 6.30 +3.0 points
  • 10-Year TIPS Spread 1.72 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +208 open in Japan
  • DAX Futures: Indicating +36 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/medical/retail sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

No comments: