Tuesday, June 23, 2020

Stocks Higher into Final Hour on Global Stimulus Hopes, Less European/Emering Markets/US High-Yield Debt Angst, Short-Covering, Transport/Tech Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 30.6 -3.8%
  • Euro/Yen Carry Return Index 125.0 +.11%
  • Emerging Markets Currency Volatility(VXY) 10.5 -.19%
  • S&P 500 Implied Correlation 64.3 -3.9%
  • ISE Sentiment Index 145.0 +41.0 points
  • Total Put/Call .76 -5.0%
  • NYSE Arms 1.06 +50%
Credit Investor Angst:
  • North American Investment Grade CDS Index 73.86 -3.66%
  • US Energy High-Yield OAS 923.81 -.14%
  • European Financial Sector CDS Index 76.83 -4.59%
  • Italian/German 10Y Yld Spread 166.5 -6.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 84.19 -1.17%
  • Emerging Market CDS Index 189.84 -6.64%
  • iBoxx Offshore RMB China Corporate High Yield Index 169.37 +.09%
  • 2-Year Swap Spread 6.25 unch.
  • TED Spread 16.0 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.5 +2.5 basis points
  • MBS  5/10 Treasury Spread  113.0-2.0 basis points
  • IHS Markit CMBX BBB- 6 70.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.86 +.43%
  • 3-Month T-Bill Yield .14% unch.
  • Yield Curve 51.75 +1.5 basis points
  • China Iron Ore Spot 99.45 USD/Metric Tonne +.05%
  • Citi US Economic Surprise Index 145.40 +17.2 points
  • Citi Eurozone Economic Surprise Index -92.20 +75.9 points
  • Citi Emerging Markets Economic Surprise Index -10.9 -2.0 points
  • 10-Year TIPS Spread 1.36 +4.0 basis points
  • 100.0% chance of no change at Sept. 16 meeting, 100.0% chance of no change at Nov. 5th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +96 open in Japan 
  • China A50 Futures: Indicating -11 open in China
  • DAX Futures: Indicating -69 open in Germany
Portfolio:
  • Higher: On gains in my tech/biotech/industrial/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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