Wednesday, July 03, 2019

Stocks Surging into Final Hour on Fed Rate-Cut Hopes, Less European/Emerging Markets/US High-Yld Debt Angst, Short-Covering, Transport/Restaurant Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 12.9 +.23%
  • Euro/Yen Carry Return Index 126.29 -.18%
  • Emerging Markets Currency Volatility(VXY) 7.85 -.13%
  • S&P 500 Implied Correlation 32.51 +1.2%
  • ISE Sentiment Index 115.0 +64.3%
  • Total Put/Call .76 -13.6%
  • NYSE Arms 1.0 -25.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.69 -1.33%
  • America Energy Sector High-Yield CDS Index 606.0 -.51%
  • European Financial Sector CDS Index 59.28 -1.68%
  • Italian/German 10Y Yld Spread 197.0 -23.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 61.5 -.12%
  • Emerging Market CDS Index 163.11 -.13%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.37 +.08%
  • 2-Year Swap Spread 3.5 -.75 basis point
  • TED Spread 18.0 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.75 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 67.68 +.10%
  • 3-Month T-Bill Yield 2.20% +3.0 basis points
  • Yield Curve 18.75 -2.5 basis points
  • China Iron Ore Spot 116.50 USD/Metric Tonne -.7%
  • Citi US Economic Surprise Index -65.40 -6.1 points
  • Citi Eurozone Economic Surprise Index -2.6 +2.0 points
  • Citi Emerging Markets Economic Surprise Index -34.70 -.6 point
  • 10-Year TIPS Spread 1.65 -1.0 basis point
  • 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 +60 open in Japan 
  • China A50 Futures: Indicating -54 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio:
  • Higher: On gains in my biotech/medical/retail/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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