Monday, July 13, 2020

Stocks Higher into Final Hour on Vaccine Hopes, Technical Buying, Short-Covering, Financial/Healthcare Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 28.8 +5.4%
  • Euro/Yen Carry Return Index 126.4 +.9%
  • Emerging Markets Currency Volatility(VXY) 9.72 -1.22%
  • S&P 500 Implied Correlation 55.1 -4.0%
  • ISE Sentiment Index 114.0 -10.0 points
  • Total Put/Call .68 -17.1%
  • NYSE Arms 1.07 +62.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.3 -2.2%
  • US Energy High-Yield OAS 910.07 -.81%
  • European Financial Sector CDS Index 73.26 -4.65%
  • Italian/German 10Y Yld Spread 165.50 -3.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index  80.22 -.37%
  • Emerging Market CDS Index 195.21 +1.46%
  • iBoxx Offshore RMB China Corporate High Yield Index 174.22 unch.
  • 2-Year Swap Spread 6.25 unch.
  • TED Spread 14.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -1.75 basis points
  • MBS  5/10 Treasury Spread  97.0 +3.0 basis points
  • IHS Markit CMBX BBB- 6 68.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.77 +.06%
  • 3-Month T-Bill Yield .13% +1.0 basis point
  • Yield Curve 48.0 +2.0 basis points
  • China Iron Ore Spot 107.98 USD/Metric Tonne +.06%
  • Citi US Economic Surprise Index 236.3 +10.4 points
  • Citi Eurozone Economic Surprise Index -27.20 +11.6 points
  • Citi Emerging Markets Economic Surprise Index -20.20 +3.0 points
  • 10-Year TIPS Spread 1.42 +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 -40 open in Japan 
  • China A50 Futures: Indicating -89 open in China
  • DAX Futures: Indicating -123 open in Germany
Portfolio:
  • Higher: On gains in my industrial/consumer staple/biotech/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 25% Net Long

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