Friday, August 03, 2018

Stocks Modestly Higher into Final Hour on Lower Long-Term Rates, Earnings Outlooks, Less Emerging Markets Debt Angst, Restaurant/Utility Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 11.7 -3.8%
  • Euro/Yen Carry Return Index 134.03 -.40%
  • Emerging Markets Currency Volatility(VXY) 10.11 -.69%
  • S&P 500 Implied Correlation 29.17 -2.31%
  • ISE Sentiment Index 146.0 +21.7%
  • Total Put/Call .89 -8.3%
  • NYSE Arms .72 -32.65%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.26 +.83%
  • America Energy Sector High-Yield CDS Index 363.0 -.81%
  • European Financial Sector CDS Index 78.58 +1.49%
  • Italian/German 10Y Yld Spread 253.0 +6.75 basis points
  • Asia Pacific Sovereign Debt CDS Index 10.80 -1.55%
  • Emerging Market CDS Index 169.43 -3.08%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.18 +.03%
  • 2-Year Swap Spread 22.25 +.25 basis point
  • TED Spread 33.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.25 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.51 +.21%
  • 3-Month T-Bill Yield 2.0% unch.
  • Yield Curve 31.0 -1.25 basis points
  • China Iron Ore Spot 69.30 USD/Metric Tonne +2.36%
  • Citi US Economic Surprise Index -15.0 -12.6 points
  • Citi Eurozone Economic Surprise Index -31.50 -5.9 points
  • Citi Emerging Markets Economic Surprise Index -3.10 +8.5 points
  • 10-Year TIPS Spread 2.12 -1.0 basis point
  • 90.3% chance of Fed rate hike at Nov. 8th meeting, 97.1% chance at Dec. 19th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +25 open in Japan 
  • China A50 Futures: Indicating +62 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my biotech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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