Tuesday, June 26, 2018

Stocks Rising into Final Hour on Diminished Trade War Fears, Yen Weakness, Oil Gain, Energy/Homebuilding Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.5 -10.7%
  • Euro/Yen Carry Return Index 133.50 -.09%
  • Emerging Markets Currency Volatility(VXY) 9.55 -.42%
  • S&P 500 Implied Correlation 37.80 -2.22%
  • ISE Sentiment Index 153.0 +35.4%
  • Total Put/Call .91 -17.3%
  • NYSE Arms .91 -22.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.04 -.48%
  • America Energy Sector High-Yield CDS Index 403.0 +.38%
  • European Financial Sector CDS Index 88.24 +.65%
  • Italian/German 10Y Yld Spread 254.75 +5.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 14.06 +.11%
  • Emerging Market CDS Index 184.74 -.88%
  • iBoxx Offshore RMB China Corporate High Yield Index 149.37 -.09%
  • 2-Year Swap Spread 26.0 -.5 basis point
  • TED Spread 42.0 -2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.25 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.80 -.1%
  • 3-Month T-Bill Yield 1.92% +3.0 basis points
  • Yield Curve 35.0 +.25 basis point
  • China Iron Ore Spot 64.0 USD/Metric Tonne +.19%
  • Citi US Economic Surprise Index 3.50 +.2 point
  • Citi Eurozone Economic Surprise Index -65.20 +.8 point
  • Citi Emerging Markets Economic Surprise Index -13.0 +2.6 points
  • 10-Year TIPS Spread 2.13 +1.0 basis point
  • 78.8% chance of Fed rate hike at Sept. 26th meeting, 80.0% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +23 open in Japan 
  • China A50 Futures: Indicating -40 open in China
  • DAX Futures: Indicating +58 open in Germany
Portfolio: 
  • Higher: On gains in my industrial/tech/medical/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

No comments: