Monday, May 18, 2015

Stocks Rising into Final Hour on Buyout Speculation, Central Bank Hopes, Short-Covering, Financial/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.66 +2.26%
  • Euro/Yen Carry Return Index 141.71 -.76%
  • Emerging Markets Currency Volatility(VXY) 9.38 -.32%
  • S&P 500 Implied Correlation 64.86 +1.58%
  • ISE Sentiment Index 148.0 +64.4%
  • Total Put/Call 1.0 +20.48%
  • NYSE Arms 1.13 +17.36% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.0 +.41%
  • America Energy Sector High-Yield CDS Index 1,068.0 +1.12%
  • European Financial Sector CDS Index 74.41 +1.77%
  • Western Europe Sovereign Debt CDS Index 22.37 +2.73%
  • Asia Pacific Sovereign Debt CDS Index 59.40 +.02%
  • Emerging Market CDS Index 286.62 -1.15%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.19 +.24%
  • 2-Year Swap Spread 26.0 -.25 basis point
  • TED Spread 26.50 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.25 -.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 166.0 +6.0 basis points
  • China Import Iron Ore Spot $60.65/Metric Tonne -1.08%
  • Citi US Economic Surprise Index -72.4 -.8 point
  • Citi Eurozone Economic Surprise Index .6 -1.3 points
  • Citi Emerging Markets Economic Surprise Index -11.6 +2.4 points
  • 10-Year TIPS Spread 1.88 +2.0 basis points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +55 open in Japan 
  • China A50 Futures: Indicating -134 open in China
  • DAX Futures: Indicating +34 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail sector longs and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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