Monday, June 15, 2020

Stocks Reversing Higher into Final Hour on Global Stimulus Hopes, Oil Gain, Short-Covering, Homebuilding/Tech Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 36.1 -.1%
  • Euro/Yen Carry Return Index 125.99 +.52%
  • Emerging Markets Currency Volatility(VXY) 10.37 +2.7%
  • S&P 500 Implied Correlation 67.68 +2.0%
  • ISE Sentiment Index 75.0 -11.0 points
  • Total Put/Call .88 -9.28%
  • NYSE Arms 1.08 +168.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.75 -3.1%
  • US Energy High-Yield OAS 966.36 +.77%
  • European Financial Sector CDS Index 81.79 +.14%
  • Italian/German 10Y Yld Spread 190.5 +1.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 93.20 +2.84%
  • Emerging Market CDS Index 203.22 -19.1%
  • iBoxx Offshore RMB China Corporate High Yield Index 169.30 +.14%
  • 2-Year Swap Spread 6.75 -1.0 basis point
  • TED Spread 17.0 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.0 -3.25 basis points
  • MBS  5/10 Treasury Spread  111.0 +6.0 basis points
  • IHS Markit CMBX BBB- 6 71.0 -1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.96 +.03%
  • 3-Month T-Bill Yield .16% unch.
  • Yield Curve 48.5 -1.75 basis points
  • China Iron Ore Spot 101.18 USD/Metric Tonne +.68%
  • Citi US Economic Surprise Index 101.50 +19.3 points
  • Citi Eurozone Economic Surprise Index -204.90 +11.0 points
  • Citi Emerging Markets Economic Surprise Index 15.0 -5.9 points
  • 10-Year TIPS Spread 1.22 +3.0 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 +455 open in Japan 
  • China A50 Futures: Indicating +54 open in China
  • DAX Futures: Indicating +179 open in Germany
Portfolio:
  • Higher: On gains in my medical/tech/biotech/consumer staple/industrial sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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