Friday, July 05, 2019

Stocks Modestly Lower into Afternoon on Diminished Fed Rate Cut Expectations, China Trade Deal Concerns, European/Emerging Markets/US High-Yield Debt Angst, Pharma/Homebuilding Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.3 +5.9%
  • Euro/Yen Carry Return Index 126.51 +.1%
  • Emerging Markets Currency Volatility(VXY) 7.62 -.78%
  • S&P 500 Implied Correlation 32.0 +1.1%
  • ISE Sentiment Index 121.0 +23.5%
  • Total Put/Call .91 unch.
  • NYSE Arms .65 -27.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.75 +2.35%
  • America Energy Sector High-Yield CDS Index 604.0 -.02%
  • European Financial Sector CDS Index 61.11 +2.23%
  • Italian/German 10Y Yld Spread 210.75 -13.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 62.65 +1.83%
  • Emerging Market CDS Index 163.89 +.78%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.55 +.06%
  • 2-Year Swap Spread 3.25 -.25 basis point
  • TED Spread 13.0 -5.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -19.0 -2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 67.52 -.41%
  • 3-Month T-Bill Yield 2.22% +2.0 basis points
  • Yield Curve 17.25 -1.5 basis points
  • China Iron Ore Spot 108.50 USD/Metric Tonne +.32%
  • Citi US Economic Surprise Index -58.50 +7.1 points
  • Citi Eurozone Economic Surprise Index -9.9 -7.3 points
  • Citi Emerging Markets Economic Surprise Index -35.60 -.9 point
  • 10-Year TIPS Spread 1.69 +4.0 basis points
  • 100.0% chance of Fed rate cut at Sept. 18th meeting, 100.0% chance of cut at October 30th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -56 open in Japan 
  • China A50 Futures: Indicating -189 open in China
  • DAX Futures: Indicating +8 open in Germany
Portfolio:
  • Slightly Lower: On losses in my biotech/tech/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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