Wednesday, September 25, 2019

Stocks Rising into Final Hour on Diminished Impeachment Prospects, US Economic Optimism, Technical Buying, Tech/Retail Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.2 -4.9%
  • Euro/Yen Carry Return Index 122.46 -.06%
  • Emerging Markets Currency Volatility(VXY) 8.30 +1.47%
  • S&P 500 Implied Correlation 41.40 -2.3%
  • ISE Sentiment Index 87.0 +2.2%
  • Total Put/Call 1.11 -5.1%
  • NYSE Arms .89 -48.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 60.40 -.02%
  • America Energy Sector High-Yield CDS Index 417.0 +3.89%
  • European Financial Sector CDS Index 67.53 +3.29%
  • Italian/German 10Y Yld Spread 141.75 -1.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 76.18 +2.58%
  • Emerging Market CDS Index 211.69 -1.14%
  • iBoxx Offshore RMB China Corporate High Yield Index 165.94 +.04%
  • 2-Year Swap Spread -1.25 +1.0 basis points
  • TED Spread 18.75 -3.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.75 +1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.44 -.23%
  • 3-Month T-Bill Yield 1.88% -2.0 basis points
  • Yield Curve .03 unch.
  • China Iron Ore Spot 87.35 USD/Metric Tonne +.48%
  • Citi US Economic Surprise Index 45.70 +4.8 points
  • Citi Eurozone Economic Surprise Index -65.30 -.4 point
  • Citi Emerging Markets Economic Surprise Index -7.8 unch.
  • 10-Year TIPS Spread 1.60 +2.0 basis points
  • 77.3% chance of Fed rate cut at Dec. 11th meeting, 87.5% chance of cut at Jan. 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -105 open in Japan 
  • China A50 Futures: Indicating +43 open in China
  • DAX Futures: Indicating +19 open in Germany
Portfolio:
  • Higher: On gains in my industrial/tech/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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