Monday, August 26, 2019

Stocks Rising into Final Hour on Diminished China Trade Deal Tensions, Bargain-Hunting, Short-Covering, Telecom/Restaurant Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.3 +2.1%
  • Euro/Yen Carry Return Index 122.33 +.29%
  • Emerging Markets Currency Volatility(VXY) 9.33 +4.95%
  • S&P 500 Implied Correlation 47.19 -.69%
  • ISE Sentiment Index 85.0 +41.7%
  • Total Put/Call 1.02 -14.3%
  • NYSE Arms .95 -69.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.08 -1.26%
  • America Energy Sector High-Yield CDS Index 428.0 +4.32%
  • European Financial Sector CDS Index 64.53 +.25%
  • Italian/German 10Y Yld Spread 199.0 -.25 basis point
  • Asia Ex-Japan Investment Grade CDS Index 65.94 +2.08%
  • Emerging Market CDS Index 214.03 -.27%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.84 -.02%
  • 2-Year Swap Spread -.75 unch.
  • TED Spread 18.5 +3.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.25 -1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.07 -.24%
  • 3-Month T-Bill Yield 1.98% +2.0 basis points
  • Yield Curve 0.0 unch.
  • China Iron Ore Spot 82.27 USD/Metric Tonne -3.67%
  • Citi US Economic Surprise Index -16.3 +.3 point
  • Citi Eurozone Economic Surprise Index -43.10 -1.6 points
  • Citi Emerging Markets Economic Surprise Index -21.82-2.6 points
  • 10-Year TIPS Spread 1.55 +1.0 basis point
  • 100.0% chance of Fed rate cut at Oct. 30th meeting, 100.0% chance of cut at Dec. 11th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +249 open in Japan 
  • China A50 Futures: Indicating +67 open in China
  • DAX Futures: Indicating +8 open in Germany
Portfolio:
  • Slightly Higher: On gains in my retail/tech/industrial/medical/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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