Friday, July 18, 2014

Stocks Rising into Final Hour on Muted Global Response to Russia, Earnings Optimism, Short-Covering, Yen Weakness, Biotech/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.29 -15.47%
  • Euro/Yen Carry Return Index 143.14 +.19%
  • Emerging Markets Currency Volatility(VXY) 5.96 -3.09%
  • S&P 500 Implied Correlation 49.47 -8.64%
  • ISE Sentiment Index 84.0 -9.68%
  • Total Put/Call .92 -7.07%
  • NYSE Arms 1.07 -19.12% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 58.25 -3.79%
  • European Financial Sector CDS Index 69.30 -2.57%
  • Western Europe Sovereign Debt CDS Index 36.39 +3.38%
  • Asia Pacific Sovereign Debt CDS Index 73.89 +2.06%
  • Emerging Market CDS Index 237.92 -3.31%
  • China Blended Corporate Spread Index 307.60 +1.45%
  • 2-Year Swap Spread 19.25 unch.
  • TED Spread 22.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.0 +1.0 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 200.0 -1.0 basis point
  • China Import Iron Ore Spot $96.60/Metric Tonne -.92%
  • Citi US Economic Surprise Index -18.0 -1.3 points
  • Citi Emerging Markets Economic Surprise Index -4.80 -.3 point
  • 10-Year TIPS Spread 2.22 unch.
Overseas Futures:
  • Nikkei Futures: Indicating +139 open in Japan
  • DAX Futures: Indicating +19 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/biotech/medical/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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