Tuesday, August 13, 2019

Stocks Surging into Final Hour on Diminished China Trade Deal Tensions, US Economic Data, Less European/Emerging Markets/US High-Yield Debt Angst, Tech/Healthcare Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.9 -3.2%
  • Euro/Yen Carry Return Index 123.77 +.9%
  • Emerging Markets Currency Volatility(VXY) 8.7 +.8%
  • S&P 500 Implied Correlation 43.4 -10.4%
  • ISE Sentiment Index 92.0 +24.3%
  • Total Put/Call .92 -23.3%
  • NYSE Arms .88 -58.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.3 -6.65%
  • America Energy Sector High-Yield CDS Index 402.0 +1.0%
  • European Financial Sector CDS Index 70.25 -5.7%
  • Italian/German 10Y Yld Spread 222.75 -6.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 69.27 -.55%
  • Emerging Market CDS Index 203.44 +2.1%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.85 +.03%
  • 2-Year Swap Spread -1.0 -.25 basis point
  • TED Spread 19.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.75 -5.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.11 +.19%
  • 3-Month T-Bill Yield 1.99% +2.0 basis points
  • Yield Curve 2.0 -4.5 basis points
  • China Iron Ore Spot 89.25 USD/Metric Tonne +2.82%
  • Citi US Economic Surprise Index -19.8 +7.0 points
  • Citi Eurozone Economic Surprise Index -62.90 -10.1 points
  • Citi Emerging Markets Economic Surprise Index -15.9 -.2 point
  • 10-Year TIPS Spread 1.64 +3.0 basis points
  • 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 +260 open in Japan 
  • China A50 Futures: Indicating +153 open in China
  • DAX Futures: Indicating +33 open in Germany
Portfolio:
  • Higher: On gains in my tech/biotech/retail/medical/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 100% Net Long

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