Wednesday, July 08, 2020

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

 Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 29.3 -.3%
  • Euro/Yen Carry Return Index 126.06 +.26%
  • Emerging Markets Currency Volatility(VXY) 9.98 +.4%
  • S&P 500 Implied Correlation 63.82 -.87%
  • ISE Sentiment Index 124.0 +4.0 points
  • Total Put/Call .77 -6.1%
  • NYSE Arms .64 -32.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.33 +.16%
  • US Energy High-Yield OAS 1,092.0 -.06%
  • European Financial Sector CDS Index 72.60 +.61%
  • Italian/German 10Y Yld Spread 164.25 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 80.46 +.96%
  • Emerging Market CDS Index 187.0 +2.12%
  • iBoxx Offshore RMB China Corporate High Yield Index 172.26 +.02%
  • 2-Year Swap Spread 6.75 +1.25 basis points
  • TED Spread 12.75 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.75 +1.75 basis points
  • MBS  5/10 Treasury Spread  99.0 -1.0 basis point
  • IHS Markit CMBX BBB- 6 69.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.65 +.34%
  • 3-Month T-Bill Yield .14% unch.
  • Yield Curve 48.5 -3.25 basis points
  • China Iron Ore Spot 103.33 USD/Metric Tonne +.60%
  • Citi US Economic Surprise Index 222.0 +.7 point
  • Citi Eurozone Economic Surprise Index -47.90 +2.9 points
  • Citi Emerging Markets Economic Surprise Index -19.80 +4.6 points
  • 10-Year TIPS Spread 1.40 -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 +7 open in Japan 
  • China A50 Futures: Indicating +28 open in China
  • DAX Futures: Indicating +23 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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