Tuesday, June 23, 2015

Stocks Slightly Higher into Final Hour on Greece Debt Deal Optimism, Less Eurozone/Emerging Markets Debt Angst, Short-Covering, Retail/Energy 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) 12.19 -4.32%
  • Euro/Yen Carry Return Index 144.65 -1.01%
  • Emerging Markets Currency Volatility(VXY) 8.88 +.23%
  • S&P 500 Implied Correlation 61.19 -2.63%
  • ISE Sentiment Index 92.0 -36.99%
  • Total Put/Call .95 +7.95%
  • NYSE Arms .68 -8.27% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.48 +.35%
  • America Energy Sector High-Yield CDS Index 1,534.0 +.79%
  • European Financial Sector CDS Index 75.33 -3.61%
  • Western Europe Sovereign Debt CDS Index 22.07 -11.46%
  • Asia Pacific Sovereign Debt CDS Index 57.0 -.87%
  • Emerging Market CDS Index 297.49 -1.97%
  • iBoxx Offshore RMB China Corporates High Yield Index 120.74 +.06%
  • 2-Year Swap Spread 24.25 -.5 basis point
  • TED Spread 28.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.25 unch.
Economic Gauges:
  • 3-Month T-Bill Yield .00% unch.
  • Yield Curve 173.0 +2.0 basis points
  • China Import Iron Ore Spot $61.34/Metric Tonne +2.2%
  • Citi US Economic Surprise Index -36.80 +1.2 points
  • Citi Eurozone Economic Surprise Index 13.5 +20.1 points
  • Citi Emerging Markets Economic Surprise Index -15.70 +.5 point
  • 10-Year TIPS Spread 1.94 +1.0 basis point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +116 open in Japan 
  • China A50 Futures: Indicating -71 open in China
  • DAX Futures: Indicating +16 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my medical sector longs and emerging markets shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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