Wednesday, September 10, 2014

Stocks Rising into Final Hour on Diminishing Scotland Independence Fears, Yen Weakness, Short-Covering, Biotech/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.06 -3.26%
  • Euro/Yen Carry Return Index 143.94 +.33%
  • Emerging Markets Currency Volatility(VXY) 7.10 +1.43%
  • S&P 500 Implied Correlation 49.58 -2.57%
  • ISE Sentiment Index 88.0 +10.0%
  • Total Put/Call .92 +4.55%
  • NYSE Arms 1.0 -11.63% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 58.79 -1.20%
  • European Financial Sector CDS Index 59.08 +.64%
  • Western Europe Sovereign Debt CDS Index 28.56 +2.49%
  • Asia Pacific Sovereign Debt CDS Index 63.63 +.78%
  • Emerging Market CDS Index 247.61 -.16%
  • China Blended Corporate Spread Index 308.22 +.39%
  • 2-Year Swap Spread 22.75 +1.0 basis point
  • TED Spread 21.25 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.25 +.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% +1.0 basis point
  • Yield Curve 197.0 +3.0 basis points
  • China Import Iron Ore Spot $82.20/Metric Tonne -1.20%
  • Citi US Economic Surprise Index 38.40 -.1 point
  • Citi Emerging Markets Economic Surprise Index -12.60 -.9 basis point
  • 10-Year TIPS Spread 2.11 -1.0 basis point
Overseas Futures:
  • Nikkei Futures: Indicating +127 open in Japan
  • DAX Futures: Indicating +33 open in Germany
Portfolio: 
  • Higher: On gains in my medical/biotech/tech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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