Monday, March 30, 2015

Stocks Surging into Final Hour on Central Bank Hopes, Buyout Speculation, Yen Weakness, Energy/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 14.4 -6.17%
  • Euro/Yen Carry Return Index 135.82 +.21%
  • Emerging Markets Currency Volatility(VXY) 10.56 -.58%
  • S&P 500 Implied Correlation 64.06 -2.12%
  • ISE Sentiment Index 94.0 +3.3%
  • Total Put/Call .94 -11.32%
  • NYSE Arms .53 -67.71% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.94 -.93%
  • America Energy Sector High-Yield CDS Index 1,027.0 +2.01%
  • European Financial Sector CDS Index 65.89 -.28%
  • Western Europe Sovereign Debt CDS Index 21.60 -2.79%
  • Asia Pacific Sovereign Debt CDS Index 60.70 -2.24%
  • Emerging Market CDS Index 315.73 -.29%
  • iBoxx Offshore RMB China Corporates High Yield Index 114.30 +.08%
  • 2-Year Swap Spread 24.25 -.25 basis point
  • TED Spread 24.0 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.5 +.25 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% -1.0 basis point
  • Yield Curve 138.0 unch.
  • China Import Iron Ore Spot $52.69/Metric Tonne -.85%
  • Citi US Economic Surprise Index -60.8 +2.1 points
  • Citi Eurozone Economic Surprise Index 64.90 +12.8 points
  • Citi Emerging Markets Economic Surprise Index -.8 +.6 point
  • 10-Year TIPS Spread 1.75 -3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +260 open in Japan
  • DAX Futures: Indicating +42 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my medical/retail/biotech/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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