Tuesday, July 30, 2019

Stocks Slightly Lower into Final Hour on China Trade Deal Concerns, Earnings Jitters, Profit-Taking, Restaurant/Pharma Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.7 +6.7%
  • Euro/Yen Carry Return Index 125.83 -.08%
  • Emerging Markets Currency Volatility(VXY) 7.02 +.57%
  • S&P 500 Implied Correlation 35.45 +4.82%
  • ISE Sentiment Index 87.0 +26.1%
  • Total Put/Call 1.03 +28.8%
  • NYSE Arms 1.36 1.0 -34.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.70 +.41%
  • America Energy Sector High-Yield CDS Index 527.0 +.51%
  • European Financial Sector CDS Index 64.32 +3.82%
  • Italian/German 10Y Yld Spread 198.5 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 58.31 +.82%
  • Emerging Market CDS Index 158.04 +.52%
  • iBoxx Offshore RMB China Corporate High Yield Index 165.03 -.07%
  • 2-Year Swap Spread 3.0 +.5 basis point
  • TED Spread 18.0 +3.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.5 +1.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 67.33 +.05%
  • 3-Month T-Bill Yield 2.06% -4.0 basis points
  • Yield Curve 21.25 +.5 basis point
  • China Iron Ore Spot 117.30 USD/Metric Tonne +2.15%
  • Citi US Economic Surprise Index -33.4 +4.0 points
  • Citi Eurozone Economic Surprise Index -46.60 -5.7 points
  • Citi Emerging Markets Economic Surprise Index -17.3 +.2 point
  • 10-Year TIPS Spread 1.78 +2.0 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 -198 open in Japan 
  • China A50 Futures: Indicating -131 open in China
  • DAX Futures: Indicating -23 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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