Wednesday, July 29, 2020

Stocks Rising into Final Hour on Global Stimulus Hopes, Earnings Outlooks, Short-Covering, Retail/Healthcare Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 24.2 -4.7%
  • Euro/Yen Carry Return Index 128.14 +.42%
  • Emerging Markets Currency Volatility(VXY) 10.02 +.2%
  • S&P 500 Implied Correlation 58.6 -5.0%
  • ISE Sentiment Index 110 .0 -15.0 points
  • Total Put/Call .70 -14.6%
  • NYSE Arms 1.22 +28.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.22 -1.87%
  • US Energy High-Yield OAS 855.93 -.71%
  • European Financial Sector CDS Index 69.43 -1.2%
  • Italian/German 10Y Yld Spread 150.75 +4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index  74.53 -.09%
  • Emerging Market CDS Index 189.28 -.85%
  • iBoxx Offshore RMB China Corporate High Yield Index 176.75 +.01%
  • 2-Year Swap Spread 7.75 +.25 basis point
  • TED Spread 17.0 +2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.25 +.5 basis point
  • MBS  5/10 Treasury Spread  92.0 -4.25 basis points
  • IHS Markit CMBX BBB- 6 66.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.40 +.09%
  • 3-Month T-Bill Yield .10% unch.
  • Yield Curve 43.75 -4.0 basis points
  • China Iron Ore Spot 107.12 USD/Metric Tonne +1.52%
  • Citi US Economic Surprise Index 230.0 -6.2 points
  • Citi Eurozone Economic Surprise Index 148.30 +.7 point
  • Citi Emerging Markets Economic Surprise Index -19.6 -.7 point
  • 10-Year TIPS Spread 1.53 +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 +108 open in Japan 
  • China A50 Futures: Indicating -18 open in China
  • DAX Futures: Indicating +9 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/medical/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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