Tuesday, June 30, 2020

Stocks Rising into Afternoon on End of Quarter Window Dressing, Oil Gain, Short-Covering, Tech/Financial 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) 30.97 -2.6%
  • Euro/Yen Carry Return Index 125.70 +.24%
  • Emerging Markets Currency Volatility(VXY) 10.62 -.38%
  • S&P 500 Implied Correlation 64.2 +.58%
  • ISE Sentiment Index 105.0 -14.0 points
  • Total Put/Call .80 -16.7%
  • NYSE Arms 1.26 +193.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 77.01 -3.25%
  • US Energy High-Yield OAS 1,002.55 +1.03%
  • European Financial Sector CDS Index 79.76 -5.95%
  • Italian/German 10Y Yld Spread 177.5 unch.
  • Asia Ex-Japan Investment Grade CDS Index 86.53 -.81%
  • Emerging Market CDS Index 197.15 -3.17%
  • iBoxx Offshore RMB China Corporate High Yield Index 169.58 +.12%
  • 2-Year Swap Spread 7.5 +.75 basis point
  • TED Spread 17.25 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -7.5 +.75 basis point
  • MBS  5/10 Treasury Spread  109.0 -2.0 basis points
  • IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.06 -.25%
  • 3-Month T-Bill Yield .13% unch.
  • Yield Curve 48.5 +.75 basis point
  • China Iron Ore Spot 95.69 USD/Metric Tonne -2.84%
  • Citi US Economic Surprise Index 181.20 +13.8 points
  • Citi Eurozone Economic Surprise Index -90.20 +9.6 points
  • Citi Emerging Markets Economic Surprise Index -25.50 +.5 point
  • 10-Year TIPS Spread 1.34 +1.0 basis point
  • 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 +22 open in Japan 
  • China A50 Futures: Indicating -259 open in China
  • DAX Futures: Indicating -41 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/medical/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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