Monday, October 21, 2019

Stocks Rising into Final Hour on Brexit Deal Hopes, China Trade Deal Optimism, Diminishing Global Growth Worries, Energy/Transport Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 14.2 -.4%
  • Euro/Yen Carry Return Index 125.63 -.06%
  • Emerging Markets Currency Volatility(VXY) 7.75 -.26%
  • S&P 500 Implied Correlation 31.85 -4.47%
  • ISE Sentiment Index 112.0 +32.8%
  • Total Put/Call .93 -5.1%
  • NYSE Arms .97 unch.
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.02 -1.93%
  • America Energy Sector High-Yield CDS Index 487.0 +.35%
  • European Financial Sector CDS Index 57.32 -4,43%
  • Italian/German 10Y Yld Spread 132.75 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 70.07 -.91%
  • Emerging Market CDS Index 201.25 -.17%
  • iBoxx Offshore RMB China Corporate High Yield Index 166.83 +.08%
  • 2-Year Swap Spread 2.5 -2.25 basis points
  • TED Spread 29.75 -2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 -2.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.90 -.21%
  • 3-Month T-Bill Yield 1.65% -1.0 basis point
  • Yield Curve .18 +1.0 basis point
  • China Iron Ore Spot 82.67 USD/Metric Tonne +.5%
  • Citi US Economic Surprise Index 7.2 -.8 point
  • Citi Eurozone Economic Surprise Index -57.2 +9.8 points
  • Citi Emerging Markets Economic Surprise Index -20.10 -.5 basis point
  • 10-Year TIPS Spread 1.61 +1.0 basis point
  • 91.7% chance of Fed rate cut at Dec. 11th meeting, 94.1% chance of cut at Jan. 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +152 open in Japan 
  • China A50 Futures: Indicating +23 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio:
  • Higher: On gains in my industrial/tech/retail/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

No comments: