Tuesday, July 21, 2020

Stocks Higher into Final Hour on Global Stimulus Hopes, Oil Gain, Short-Covering, Energy/Financial Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 24.5 -.04%
  • Euro/Yen Carry Return Index 127.62 +.25%
  • Emerging Markets Currency Volatility(VXY) 9.31 -.85%
  • S&P 500 Implied Correlation 52.6 +1.2%
  • ISE Sentiment Index 93.0 -5.0 points
  • Total Put/Call .67 -13.0%
  • NYSE Arms .62 -53.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.20 -1.37%
  • US Energy High-Yield OAS 874.47 -1.20%
  • European Financial Sector CDS Index 65.54 -3.96%
  • Italian/German 10Y Yld Spread 155.0 -1.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index  76.68 -1.55%
  • Emerging Market CDS Index 174.11 -4.9%
  • iBoxx Offshore RMB China Corporate High Yield Index 173.96 -.76%
  • 2-Year Swap Spread 7.5 +.5 basis point
  • TED Spread 15.75 -1.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.0 -1.0 basis point
  • MBS  5/10 Treasury Spread  99.0 -2.0 basis points
  • IHS Markit CMBX BBB- 6 67.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.39 +.98%
  • 3-Month T-Bill Yield .11% unch.
  • Yield Curve 46.25 -1.0 basis point
  • China Iron Ore Spot 108.55 USD/Metric Tonne +.42%
  • Citi US Economic Surprise Index 246.5 -4.2 points
  • Citi Eurozone Economic Surprise Index 57.7 +50.6 points
  • Citi Emerging Markets Economic Surprise Index -7.9 -.8 points
  • 10-Year TIPS Spread 1.47 +2.0 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 -80 open in Japan 
  • China A50 Futures: Indicating -81 open in China
  • DAX Futures: Indicating -34 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/biotech sector longs, index hedges and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: Moved to 75% Net Long

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