Friday, March 20, 2015

Stocks Surging into Final Hour on Central Bank Hopes, Less European/Emerging Markets/US High-Yield Debt Angst, Oil Bounce, Homebuilding/Commodity Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.03 -7.39%
  • Euro/Yen Carry Return Index 135.86 +1.13%
  • Emerging Markets Currency Volatility(VXY) 10.36 -1.89%
  • S&P 500 Implied Correlation 59.96 -1.75%
  • ISE Sentiment Index 115.0 +57.53%
  • Total Put/Call .76 -13.64%
  • NYSE Arms .59 -66.99% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.89 -1.02%
  • America Energy Sector High-Yield CDS Index 1,025.0 +.62%
  • European Financial Sector CDS Index 64.35 +3.94%
  • Western Europe Sovereign Debt CDS Index 21.88 -7.48%
  • Asia Pacific Sovereign Debt CDS Index 61.05 -4.78%
  • Emerging Market CDS Index 320.61 -22.3% (new series)
  • iBoxx Offshore RMB China Corporates High Yield Index 114.19 +.09%
  • 2-Year Swap Spread 26.50 +.5 basis point
  • TED Spread 26.0 +2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .00% -1.0 basis point
  • Yield Curve 135.0 -1.0 basis point
  • China Import Iron Ore Spot $54.66/Metric Tonne -.62%
  • Citi US Economic Surprise Index -72.10 unch.
  • Citi Eurozone Economic Surprise Index 40.20 -.1 point
  • Citi Emerging Markets Economic Surprise Index -.6 +.9 point
  • 10-Year TIPS Spread 1.77 -3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +85 open in Japan
  • DAX Futures: Indicating +42 open in Germany
Portfolio: 
  • Higher: On gains in my medical/biotech/retail/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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