Wednesday, August 12, 2015

Stocks Reversing Slightly Higher into Final Hour on Central Bank Hopes, Short-Covering, Technical Buying, Energy/Utility Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 13.99 +2.04%
  • Euro/Yen Carry Return Index 144.84 +.37%
  • Emerging Markets Currency Volatility(VXY) 11.75 +8.29%
  • S&P 500 Implied Correlation 54.98 -1.75%
  • ISE Sentiment Index 50.0 -10.71%
  • Total Put/Call 1.04 -5.45%
  • NYSE Arms .80 -48.18% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.29 +1.27%
  • America Energy Sector High-Yield CDS Index 1,887.0 +1.93%
  • European Financial Sector CDS Index 79.03 +2.27%
  • Western Europe Sovereign Debt CDS Index 22.77 +4.50%
  • Asia Pacific Sovereign Debt CDS Index 70.58 +2.59%
  • Emerging Market CDS Index 335.06 +.76%
  • iBoxx Offshore RMB China Corporates High Yield Index 120.81 -.23%
  • 2-Year Swap Spread 25.0 unch.
  • TED Spread 21.75 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.0 -.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .10% unch.
  • Yield Curve 148.0 +2.0 basis points
  • China Import Iron Ore Spot $56.31/Metric Tonne +.16%
  • Citi US Economic Surprise Index -4.1 +1.8 points
  • Citi Eurozone Economic Surprise Index 12.0 +.1 point
  • Citi Emerging Markets Economic Surprise Index -7.7 -2.9 points
  • 10-Year TIPS Spread 1.64 -2.0 basis points
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 4.80 +.51
Overseas Futures:
  • Nikkei 225 Futures: Indicating -82 open in Japan 
  • China A50 Futures: Indicating -156 open in China
  • DAX Futures: Indicating +113 open in Germany
Portfolio: 
  • Higher: On gains in my biotech/tech sector longs and emerging markets shorts 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: