Friday, July 19, 2019

Stocks Reversing Slightly Lower into Final Hour on Less Dovish FOMC Commentary, Iran Tensions, Profit-Taking, Biotech/REIT Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 13.7 +1.0%
  • Euro/Yen Carry Return Index 125.62 -.04%
  • Emerging Markets Currency Volatility(VXY) 6.92 -.43%
  • S&P 500 Implied Correlation 36.2 +3.2%
  • ISE Sentiment Index 123.0 +69.9%
  • Total Put/Call .99 +19.1%
  • NYSE Arms 1.26 +20.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.41 +.16%
  • America Energy Sector High-Yield CDS Index 641.0 +1.84%
  • European Financial Sector CDS Index 60.99 -1.15%
  • Italian/German 10Y Yld Spread 193.0 +7.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 63.37 -2.27%
  • Emerging Market CDS Index 160.25 +.30%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.79 +.08%
  • 2-Year Swap Spread 2.5 -.5 basis point
  • TED Spread 26.0 +7.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.25 -4.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 67.78 -.29%
  • 3-Month T-Bill Yield 2.06% +1.0 basis point
  • Yield Curve 23.25 -3.25 basis points
  • China Iron Ore Spot 114.26 USD/Metric Tonne -2.07%
  • Citi US Economic Surprise Index -41.60 -.1 point
  • Citi Eurozone Economic Surprise Index -8.80 unch.
  • Citi Emerging Markets Economic Surprise Index -29.0 +.8 point
  • 10-Year TIPS Spread 1.80 +5.0 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 -106 open in Japan 
  • China A50 Futures: Indicating -47 open in China
  • DAX Futures: Indicating -12 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/industrial/retail sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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