Wednesday, May 20, 2015

Stocks Slightly Higher into Final Hour on Central bank Hopes, Less Emerging Markets Debt Angst, Short-Covering, Gaming/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.73 -.93%
  • Euro/Yen Carry Return Index 140.74 +.14%
  • Emerging Markets Currency Volatility(VXY) 9.44 -.11%
  • S&P 500 Implied Correlation 60.41 -3.84%
  • ISE Sentiment Index 134.0 +5.51%
  • Total Put/Call .81 -22.1%
  • NYSE Arms .83 -21.4% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.90 +.1%
  • America Energy Sector High-Yield CDS Index 1,092.0 +1.41%
  • European Financial Sector CDS Index 73.21 +.24%
  • Western Europe Sovereign Debt CDS Index 21.87 +.51%
  • Asia Pacific Sovereign Debt CDS Index 59.62 +.86%
  • Emerging Market CDS Index 284.75 -1.73%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.46 +.20%
  • 2-Year Swap Spread 26.0 +.25 basis point
  • TED Spread 26.5 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.0 +.5 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .02% +1.0 basis point
  • Yield Curve 167.0 +1.0 basis point
  • China Import Iron Ore Spot $57.12/Metric Tonne -2.41%
  • Citi US Economic Surprise Index -64.3 +.2 point
  • Citi Eurozone Economic Surprise Index -6.20 -1.7 points
  • Citi Emerging Markets Economic Surprise Index -13.3 -2.6 points
  • 10-Year TIPS Spread 1.90 +2.0 basis points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +119 open in Japan 
  • China A50 Futures: Indicating -39 open in China
  • DAX Futures: Indicating +16 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my biotech/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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