Wednesday, September 18, 2019

Stocks Reversing Slightly Higher into Final Hour on US Economic Optimism, FOMC Commentary, Short-Covering, Financial/Homebuilding Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.1 +4.5%
  • Euro/Yen Carry Return Index 124.10 -.14%
  • Emerging Markets Currency Volatility(VXY) 8.23 +.61%
  • S&P 500 Implied Correlation 37.82 +3.99%
  • ISE Sentiment Index 89.0 unch.
  • Total Put/Call 1.03 +24.1%
  • NYSE Arms 1.90 +4.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.89 +.97%
  • America Energy Sector High-Yield CDS Index 369.0 +2.39%
  • European Financial Sector CDS Index 57.75 -1.35%
  • Italian/German 10Y Yld Spread 138.5 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 54.05 -1.45%
  • Emerging Market CDS Index 203.53 -.72%
  • iBoxx Offshore RMB China Corporate High Yield Index 165.63 +.08%
  • 2-Year Swap Spread -3.25 -1.5 basis points
  • TED Spread 21.0 +5.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.81 -.09%
  • 3-Month T-Bill Yield 1.94% -4.0 basis points
  • Yield Curve .08 unch.
  • China Iron Ore Spot 91.75 USD/Metric Tonne -.73%
  • Citi US Economic Surprise Index 38.80 +12.7 points
  • Citi Eurozone Economic Surprise Index -27.70 -1.6 points
  • Citi Emerging Markets Economic Surprise Index -8.6 -.2 point
  • 10-Year TIPS Spread 1.60 -6.0 basis points
  • 64.0% chance of Fed rate cut at Dec. 11th meeting, 79.7% chance of cut at Jan. 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -48 open in Japan 
  • China A50 Futures: Indicating -44 open in China
  • DAX Futures: Indicating +10 open in Germany
Portfolio:
  • Slightly Lower: On losses in my retail/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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