Tuesday, December 17, 2019

Stocks Reversing Slightly Higher into Final Hour on Rising Global Growth Optimism, Oil Gain, Short-Covering, Retail/Financial Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.3 +1.3%
  • Euro/Yen Carry Return Index 126.70 -.01%
  • Emerging Markets Currency Volatility(VXY) 6.47 +.31%
  • S&P 500 Implied Correlation 40.70 -2.16%
  • ISE Sentiment Index 132.0 +30
  • Total Put/Call .59 -33.7%
  • NYSE Arms 1.01 +20.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 45.83 -1.31%
  • America Energy Sector High-Yield CDS Index 578.0 -2.48%
  • European Financial Sector CDS Index 52.43 +.82%
  • Italian/German 10Y Yld Spread 156.75 -.5 basis point
  • Asia Ex-Japan Investment Grade CDS Index 57.58 -2.99%
  • Emerging Market CDS Index 180.87 -.57%
  • iBoxx Offshore RMB China Corporate High Yield Index 166.93 +.19%
  • 2-Year Swap Spread 5.75 +1.25 basis points
  • TED Spread 35.25 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -17.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.31 unch.
  • 3-Month T-Bill Yield 1.55% -1.0 basis point
  • Yield Curve .23 +2.0 basis points
  • China Iron Ore Spot 91.99 USD/Metric Tonne -.04%
  • Citi US Economic Surprise Index -3.90 +7.2 basis points
  • Citi Eurozone Economic Surprise Index .7 +2.0 points
  • Citi Emerging Markets Economic Surprise Index -17.3 +.4 basis point
  • 10-Year TIPS Spread 1.76 +4.0 basis points
  • 8.1% chance of Fed rate cut at March 18th meeting, 18.6% chance of cut at April 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -21 open in Japan 
  • China A50 Futures: Indicating +27 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio:
  • Higher: On gains in my tech/medical/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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