Thursday, October 25, 2018

Stocks Soaring into Final Hour on Earnings Optimism, Less European/Emerging Markets/US High-Yield Debt Angst, Stable Long-Term Rates, Tech/Homebuilding Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.3 -11.8%
  • Euro/Yen Carry Return Index 133.07 +.08%
  • Emerging Markets Currency Volatility(VXY) 10.03 +1.11%
  • S&P 500 Implied Correlation 43.79 +6.0%
  • ISE Sentiment Index 122.0 +106.7%
  • Total Put/Call 1.01 -20.47%
  • NYSE Arms .98 -47.59%
Credit Investor Angst:
  • North American Investment Grade CDS Index 68.36 -1.32%
  • America Energy Sector High-Yield CDS Index 460.0 +3.0%
  • European Financial Sector CDS Index 94.60 -2.64%
  • Italian/German 10Y Yld Spread 309.5 -11.5 basis points
  • Asia Pacific Sovereign Debt CDS Index 9.95 -2.12%
  • Emerging Market CDS Index 202.07 -1.96%
  • iBoxx Offshore RMB China Corporate High Yield Index 150.25 +.15%
  • 2-Year Swap Spread 20.75 +.5 basis point
  • TED Spread 17.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -44.25 -4.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 66.59 +.11%
  • 3-Month T-Bill Yield 2.32% -1.0 basis point
  • Yield Curve 28.0 +1.25 basis points
  • China Iron Ore Spot 72.80 USD/Metric Tonne -.21%
  • Citi US Economic Surprise Index -4.7 -.4 point
  • Citi Eurozone Economic Surprise Index -43.3 unch.
  • Citi Emerging Markets Economic Surprise Index -6.0 -2.2 points
  • 10-Year TIPS Spread 2.05 -2.0 basis points
  • 74.7% chance of Fed rate hike at Dec. 19th meeting, 75.5% chance at Jan. 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +521 open in Japan 
  • China A50 Futures: Indicating +148 open in China
  • DAX Futures: Indicating +51 open in Germany
Portfolio: 
  • Higher: On gains in my tech/biotech/medical/retail/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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