Tuesday, February 24, 2015

Stocks Rising into Final Hour on Dovish Fed Commentary, Less Eurozone Debt Angst, Short-Covering, Homebuilding/Financial 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) 13.76 -5.49%
  • Euro/Yen Carry Return Index 140.80 +.10%
  • Emerging Markets Currency Volatility(VXY) 10.21 -1.07%
  • S&P 500 Implied Correlation 61.40 -.90%
  • ISE Sentiment Index 97.0 -23.62%
  • Total Put/Call .97 +11.49%
  • NYSE Arms .93 -47.08% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 6165 -2.98%
  • America Energy Sector High-Yield CDS Index 688.0 -.14%
  • European Financial Sector CDS Index 56.58 -3.98%
  • Western Europe Sovereign Debt CDS Index 23.35 -4.52%
  • Asia Pacific Sovereign Debt CDS Index 65.0 +.32%
  • Emerging Market CDS Index 378.36 -2.10%
  • iBoxx Offshore RMB China Corporates High Yield Index 113.82 +.02%
  • 2-Year Swap Spread 29.0 -.5 basis point
  • TED Spread 24.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.75 +2.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 143.0 -2.0 basis points
  • China Import Iron Ore Spot $64.01/Metric Tonne +.90%
  • Citi US Economic Surprise Index -47.80 -2.2 points
  • Citi Eurozone Economic Surprise Index 49.8 -.8 point
  • Citi Emerging Markets Economic Surprise Index -9.70 +1.0 point
  • 10-Year TIPS Spread 1.73 -3.0 basis points
Overseas Futures:
  • Nikkei Futures: Indicating +70 open in Japan
  • DAX Futures: Indicating +20 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
  • Market Exposure: Moved to 75% Net Long

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