Thursday, July 05, 2018

Stocks Rising into Final Hour on US Economic Optimism, Stable Long-Term Rates, Less Emerging Markets Debt Angst, Tech/Biotech Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.26 -5.45%
  • Euro/Yen Carry Return Index 134.58 +.41%
  • Emerging Markets Currency Volatility(VXY) 9.52 -.31%
  • S&P 500 Implied Correlation 37.0 -5.01%
  • ISE Sentiment Index 87.0 -23.68%
  • Total Put/Call .94 -14.55%
  • NYSE Arms 1.06 -2.21%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.44 -1.50%
  • America Energy Sector High-Yield CDS Index 398.0 -.05%
  • European Financial Sector CDS Index 84.98 -2.87%
  • Italian/German 10Y Yld Spread 243.0 +10.0 basis points
  • Asia Pacific Sovereign Debt CDS Index 14.94 +.44%
  • Emerging Market CDS Index 179.02 -4.23%
  • iBoxx Offshore RMB China Corporate High Yield Index 148.28 +.11%
  • 2-Year Swap Spread 25.5 unch.
  • TED Spread 38.75 +2.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 69.68 +.37%
  • 3-Month T-Bill Yield 1.95% -2.0 basis points
  • Yield Curve 28.25 -.25 basis points
  • China Iron Ore Spot 63.23 USD/Metric Tonne +.41%
  • Citi US Economic Surprise Index 10.50 +1.6 points
  • Citi Eurozone Economic Surprise Index -45.20 +5.9 points
  • Citi Emerging Markets Economic Surprise Index -6.0 +2.4 points
  • 10-Year TIPS Spread 2.14 +1.0 basis point
  • 82.0% chance of Fed rate hike at Sept. 26th meeting, 82.5% chance at November 8th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +179 open in Japan 
  • China A50 Futures: Indicating -84 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/industrial/retail/medical sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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