Thursday, September 05, 2019

Stocks Surging into Afternoon on China Trade Deal Hopes, Diminished Global Growth Fears, Less European/Emerging Markets/US High-Yield Debt Angst, Transport/Retail Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Above Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 15.99 -7.7%
  • Euro/Yen Carry Return Index 122.58 +.53%
  • Emerging Markets Currency Volatility(VXY) 8.5 -1.05%
  • S&P 500 Implied Correlation 39.5 -6.5%
  • ISE Sentiment Index 80.0 -10.1%
  • Total Put/Call .81 -16.5%
  • NYSE Arms .77 +35.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.28 -3.56%
  • America Energy Sector High-Yield CDS Index 423.0 -2.56%
  • European Financial Sector CDS Index 58.70 -3.64%
  • Italian/German 10Y Yld Spread 153.75 +5.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 59.46 -4.78%
  • Emerging Market CDS Index 200.04 -1.50%
  • iBoxx Offshore RMB China Corporate High Yield Index 165.14 -.05%
  • 2-Year Swap Spread -2.0 -1.25 basis points
  • TED Spread 16.50 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.5 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.61 +.11%
  • 3-Month T-Bill Yield 1.96% +2.0 basis points
  • Yield Curve .03 +2.0 basis points
  • China Iron Ore Spot 87.33 USD/Metric Tonne +.41%
  • Citi US Economic Surprise Index 7.7 +15.4 points
  • Citi Eurozone Economic Surprise Index -34.30 -2.5 points
  • Citi Emerging Markets Economic Surprise Index -14.6 -1.1 points
  • 10-Year TIPS Spread 1.55+4.0 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 +95 open in Japan 
  • China A50 Futures: Indicating +100 open in China
  • DAX Futures: Indicating -6 open in Germany
Portfolio:
  • Higher: On gains in my retail/industrial/tech/medical/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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