Wednesday, July 22, 2020

Stocks Modestly Higher into Final Hour on Global Stimulus Hopes, Short-Covering, Technical Buying, Homebuilding/Restaurant Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 24.9 +.4%
  • Euro/Yen Carry Return Index 128.61 +.8%
  • Emerging Markets Currency Volatility(VXY) 9.6 +2.5%
  • S&P 500 Implied Correlation 54.9 +4.0%
  • ISE Sentiment Index 141 .0 +48.0 points
  • Total Put/Call .72 +1.41%
  • NYSE Arms 1.10 +48.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.57 -.72%
  • US Energy High-Yield OAS 865.61 -.67%
  • European Financial Sector CDS Index 66.62 +1.7%
  • Italian/German 10Y Yld Spread 152.75 -2.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index  76.06 -.99%
  • Emerging Market CDS Index 171.33 -2.2%
  • iBoxx Offshore RMB China Corporate High Yield Index 175.66 +.98%
  • 2-Year Swap Spread 6.5 -1.0 basis point
  • TED Spread 15.0 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.75 +2.25 basis points
  • MBS  5/10 Treasury Spread  98.0 -1.0 basis point
  • IHS Markit CMBX BBB- 6 66.0 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.44 +.1%
  • 3-Month T-Bill Yield .11% unch.
  • Yield Curve 46.25 unch.
  • China Iron Ore Spot 108.12 USD/Metric Tonne +.75%
  • Citi US Economic Surprise Index 239.9 -66 points
  • Citi Eurozone Economic Surprise Index 62.8 +5.1 points
  • Citi Emerging Markets Economic Surprise Index -8.8 -.9 point
  • 10-Year TIPS Spread 1.47 unch.
  • 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 +24 open in Japan 
  • China A50 Futures: Indicating -183 open in China
  • DAX Futures: Indicating +16 open in Germany
Portfolio:
  • Higher: On gains in my tech/industrial/medical/consumer staple sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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