Wednesday, May 27, 2015

Stocks Surging into Final Hour on Less Eurozone Debt Angst, Buyout Speculation, Stable Long-Term Rates, Tech/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.19 -6.19%
  • Euro/Yen Carry Return Index 140.90 +.75%
  • Emerging Markets Currency Volatility(VXY) 9.53 +1.06%
  • S&P 500 Implied Correlation 60.78 -.15%
  • ISE Sentiment Index 86.0 -35.82%
  • Total Put/Call 1.13 unch.
  • NYSE Arms .93 -57.52% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.06 -1.51%
  • America Energy Sector High-Yield CDS Index 1,097.0 +.76%
  • European Financial Sector CDS Index 73.24 -4.44%
  • Western Europe Sovereign Debt CDS Index 22.40 -5.58%
  • Asia Pacific Sovereign Debt CDS Index 59.01 -.71%
  • Emerging Market CDS Index 286.04 +.25%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.89 -.04%
  • 2-Year Swap Spread 23.25 -3.0 basis points
  • TED Spread 27.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.25 +.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 149.0 -3.0 basis points
  • China Import Iron Ore Spot $63.10/Metric Tonne +.51%
  • Citi US Economic Surprise Index -55.60 +1.2 points
  • Citi Eurozone Economic Surprise Index -11.0 +.2 point
  • Citi Emerging Markets Economic Surprise Index -17.3 +.1 point
  • 10-Year TIPS Spread 1.82 -3.0 basis points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +203 open in Japan 
  • China A50 Futures: Indicating -85 open in China
  • DAX Futures: Indicating +12 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my retail/tech/biotech/medical sector longs 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: