Thursday, March 28, 2019

Stocks Modestly Higher into Afternoon on Diminished Global Growth Fears, Technical Buying, Short-Covering, Transport/Gaming Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 15.0 -1.2%
  • Euro/Yen Carry Return Index 129.02 -.1%
  • Emerging Markets Currency Volatility(VXY) 9.52 +3.25%
  • S&P 500 Implied Correlation 40.37 -1.8%
  • ISE Sentiment Index 63.0 -28.4%
  • Total Put/Call .89 -13.6%
  • NYSE Arms 1.01 -40.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.83 -2.1%
  • America Energy Sector High-Yield CDS Index 529.0 +.38%
  • European Financial Sector CDS Index 83.96 +.65%
  • Italian/German 10Y Yld Spread 255.5 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 71.84 -.25%
  • Emerging Market CDS Index 183.70 -2.14%
  • iBoxx Offshore RMB China Corporate High Yield Index 160.90 +.03%
  • 2-Year Swap Spread 11.25 +.5 basis point
  • TED Spread 18.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.5 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 67.09 -.18%
  • 3-Month T-Bill Yield 2.42% unch.
  • Yield Curve 15.25 -1.25 basis points
  • China Iron Ore Spot 82.25 USD/Metric Tonne -.53%
  • Citi US Economic Surprise Index -40.0 +.3 point
  • Citi Eurozone Economic Surprise Index -58.70 -4.3 points
  • Citi Emerging Markets Economic Surprise Index -17.20 +.6 point
  • 10-Year TIPS Spread 1.83 -1.0 basis point
  • 28.2% chance of Fed rate cut at June 19th meeting, 36.7% chance of cut at July 31st meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +172 open in Japan 
  • China A50 Futures: Indicating +47 open in China
  • DAX Futures: Indicating +40 open in Germany
Portfolio:
  • Slightly Higher: On gains in my industrial/retail/medical/biotech/tech
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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