Tuesday, August 06, 2019

Stocks Rising into Final Hour on Diminished China Currency War Fears, Less European/Emerging Markets/US High-Yield Debt Angst, Bargain-Hunting, Defense/Medical Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.4 -17.1%
  • Euro/Yen Carry Return Index 123.90 +.49%
  • Emerging Markets Currency Volatility(VXY) 8.66 -7.4%
  • S&P 500 Implied Correlation 46.44 -9.5%
  • ISE Sentiment Index 71.0 +10.9%
  • Total Put/Call 1.13 -10.3%
  • NYSE Arms 1.11 -36.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.50 -2.36%
  • America Energy Sector High-Yield CDS Index 548.0 +.81%
  • European Financial Sector CDS Index 69.43 -1.85%
  • Italian/German 10Y Yld Spread 204.75 -3.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 68.75 +2.5%
  • Emerging Market CDS Index 183.26 -1.81%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.97 unch.
  • 2-Year Swap Spread .25 +1.5 basis points
  • TED Spread 19.25 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.75 +1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.12 +.19%
  • 3-Month T-Bill Yield 2.02% +2.0 basis points
  • Yield Curve 14.25 +1.75 basis points
  • China Iron Ore Spot 93.0 USD/Metric Tonne -.24%
  • Citi US Economic Surprise Index -35.2 +1.5 points
  • Citi Eurozone Economic Surprise Index -50.7 +4.5 points
  • Citi Emerging Markets Economic Surprise Index -20.3 +.9 point
  • 10-Year TIPS Spread 1.62 +2.0 basis points
  • 100.0% chance of Fed rate cut at Sept. 18th meeting, 100.0% chance of cut at October 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -30 open in Japan 
  • China A50 Futures: Indicating -73 open in China
  • DAX Futures: Indicating +77 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/retail/biotech/medical/industrial sector longs
  • 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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