Friday, August 14, 2015

Stocks Modestly Higher into Afternoon on Central Bank Hopes, Oil Bounce, Technical Buying, Financial/Defense Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.33 -1.19%
  • Euro/Yen Carry Return Index 144.38 -.38%
  • Emerging Markets Currency Volatility(VXY) 10.75 -1.47%
  • S&P 500 Implied Correlation 55.97 -1.44%
  • ISE Sentiment Index 92.0 +19.48%
  • Total Put/Call 1.12 +17.89%
  • NYSE Arms 1.10 -9.42% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.83 +.25%
  • America Energy Sector High-Yield CDS Index 1,901.0 -.21%
  • European Financial Sector CDS Index 76.41 +.78%
  • Western Europe Sovereign Debt CDS Index 22.27 -2.17%
  • Asia Pacific Sovereign Debt CDS Index 70.07 +2.11%
  • Emerging Market CDS Index 343.18 +1.23%
  • iBoxx Offshore RMB China Corporates High Yield Index 119.38 -.44%
  • 2-Year Swap Spread 24.25 unch.
  • TED Spread 23.0 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.5 -.75 basis point
Economic Gauges:
  • 3-Month T-Bill Yield .09% +1.0 basis point
  • Yield Curve 146.0 -2.0 basis points
  • China Import Iron Ore Spot $56.74/Metric Tonne -.49%
  • Citi US Economic Surprise Index -4.4 +1.0 point
  • Citi Eurozone Economic Surprise Index 8.8 -3.4 points
  • Citi Emerging Markets Economic Surprise Index -6.3 +1.1 points
  • 10-Year TIPS Spread 1.63 unch.
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 3.68 -.32
Overseas Futures:
  • Nikkei 225 Futures: Indicating +56 open in Japan 
  • China A50 Futures: Indicating -124 open in China
  • DAX Futures: Indicating +36 open in Germany
Portfolio: 
  • Slightly Higher: On gains in my tech/retail/medical sector longs 
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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