Wednesday, June 03, 2020

Stocks Surging into Final Hour on Global Stimulus Hopes, Economy Re-Opening Optimism, Diminishing US Social Unrest, Financial/Transport Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 25.5 -5.0%
  • Euro/Yen Carry Return Index 126.89%
  • Emerging Markets Currency Volatility(VXY) 10.07 -2.6%
  • S&P 500 Implied Correlation 60.45 -.07%
  • ISE Sentiment Index 115.0 -9.0 points
  • Total Put/Call .68 -13.9%
  • NYSE Arms .77 +.01%
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.13 -5.29%
  • US Energy High-Yield OAS 972.46 -2.11%
  • European Financial Sector CDS Index 76.43 -1.93%
  • Italian/German 10Y Yld Spread 190.75 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 92.61 -6.05%
  • Emerging Market CDS Index 242.0 -5.73%
  • iBoxx Offshore RMB China Corporate High Yield Index 169.0 +1.51%
  • 2-Year Swap Spread 7.25 -1.0 basis point
  • TED Spread 18.75 -2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -.5 basis point
  • MBS  5/10 Treasury Spread  113.0 -1.0 basis point
  • IHS Markit CMBX BBB- 6 66.5 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.50 +.58%
  • 3-Month T-Bill Yield .15% +1.0 basis point
  • Yield Curve 53.75 +4.75 basis points
  • China Iron Ore Spot 97.50 USD/Metric Tonne +1.27%
  • Citi US Economic Surprise Index 8.0 +61.9 points
  • Citi Eurozone Economic Surprise Index -226.30 +35.8 points
  • Citi Emerging Markets Economic Surprise Index 43.5 +13.9 points
  • 10-Year TIPS Spread 1.20 +4.0 basis points
  • 99.3% chance of no change at July 29th meeting, 99.3% chance of no change at Sept. 16th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +309 open in Japan 
  • China A50 Futures: Indicating +71 open in China
  • DAX Futures: Indicating +59 open in Germany
Portfolio:
  • Slightly Higher: On gains in my industrial/tech/medical/consumer staple sector longs 
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

No comments: