Monday, August 10, 2015

Stocks Surging into Final Hour on Central Bank Hopes, Less Eurozone/Emerging Markets Debt Angst, Short-Covering, Commodity/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 12.37 -7.62%
  • Euro/Yen Carry Return Index 143.43 +.79%
  • Emerging Markets Currency Volatility(VXY) 9.32 -.85%
  • S&P 500 Implied Correlation 53.52 -2.27%
  • ISE Sentiment Index 83.0 +48.21%
  • Total Put/Call .53 -56.91%
  • NYSE Arms .39 -73.25% 
Credit Investor Angst:
  • North American Investment Grade CDS Index 73.55 -2.1%
  • America Energy Sector High-Yield CDS Index 1,882.0 +2.30%
  • European Financial Sector CDS Index 74.06 -3.28%
  • Western Europe Sovereign Debt CDS Index 22.49 +.02%
  • Asia Pacific Sovereign Debt CDS Index 64.75 -.77%
  • Emerging Market CDS Index 329.71 -2.0%
  • iBoxx Offshore RMB China Corporates High Yield Index 121.23 +.20%
  • 2-Year Swap Spread 25.25 +.5 basis point
  • TED Spread 25.0 -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.25 +1.25 basis points
Economic Gauges:
  • 3-Month T-Bill Yield .07% +1.0 basis point
  • Yield Curve 151.0 +6.0 basis points
  • China Import Iron Ore Spot $56.40/Metric Tonne n/a
  • Citi US Economic Surprise Index -5.9 +2.3 points
  • Citi Eurozone Economic Surprise Index 15.9 +.9 point
  • Citi Emerging Markets Economic Surprise Index -5.8 -2.3 points
  • 10-Year TIPS Spread 1.70 unch.
  • # of Months to 1st Fed Rate Hike(Morgan Stanley) 4.39 -.23
Overseas Futures:
  • Nikkei 225 Futures: Indicating +107 open in Japan 
  • China A50 Futures: Indicating -76 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my index hedges and emerging markets shorts 
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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