Tuesday, December 31, 2019

Stocks Reversing Slightly Higher into Final Hour on Global Growth Optimism, Short-Covering, Technical Buying, Tech/Energy Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Light
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 14.2 -4.5%
  • Euro/Yen Carry Return Index 126.50 -.05%
  • Emerging Markets Currency Volatility(VXY) 6.58 +.15%
  • S&P 500 Implied Correlation 43.0 -6.2%
  • ISE Sentiment Index 92.0 +10
  • Total Put/Call 1.02 +14.6%
  • NYSE Arms .84 -10.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 45.22 +.89%
  • America Energy Sector High-Yield CDS Index 546.0 +.24%
  • European Financial Sector CDS Index 51.64 +.08%
  • Italian/German 10Y Yld Spread 159.75 unch.
  • Asia Ex-Japan Investment Grade CDS Index 53.45 +.50%
  • Emerging Market CDS Index 173.74 +.01%
  • iBoxx Offshore RMB China Corporate High Yield Index 167.44 +.02%
  • 2-Year Swap Spread 12.75 +1.5 basis points
  • TED Spread 36.5 -3.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 3.75 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.73 +.13%
  • 3-Month T-Bill Yield 1.54% unch.
  • Yield Curve .30 unch.
  • China Iron Ore Spot 91.06 USD/Metric Tonne +2.21%
  • Citi US Economic Surprise Index -3.1 +.8 point
  • Citi Eurozone Economic Surprise Index 30.40 +1.3 points
  • Citi Emerging Markets Economic Surprise Index -14.3 -1.6 basis points
  • 10-Year TIPS Spread 1.79 +2.0 basis points
  • 28% chance of Fed rate cut at March 18th meeting, 9.3% chance of cut at April 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -199 open in Japan 
  • China A50 Futures: Indicating +26 open in China
  • DAX Futures: Indicating -2 open in Germany
Portfolio:
  • Higher: On gains in my medical/tech/biotech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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