Thursday, August 22, 2019

Stocks Reversing Slightly Higher into Final Hour on Earnings Optimism, Diminished Global Growth Fears, Global Central Bank Stimulus Hopes, Retail/Homebuilding Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.69 +5.6%
  • Euro/Yen Carry Return Index 122.49 -.18%
  • Emerging Markets Currency Volatility(VXY) 8.80 +1.97%
  • S&P 500 Implied Correlation 42.15 +.24%
  • ISE Sentiment Index 89.0 +39.06%
  • Total Put/Call .95 -26.9%
  • NYSE Arms .94 -6.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.79 -.56%
  • America Energy Sector High-Yield CDS Index 406.0 -1.74%
  • European Financial Sector CDS Index 62.54 +1.91%
  • Italian/German 10Y Yld Spread 195.25 -5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 64.99 -.66%
  • Emerging Market CDS Index 204.68 -.91%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.84 -.01%
  • 2-Year Swap Spread -1.0 -.5 basis point
  • TED Spread 17.25 -6.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.75 -5.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.44 -.31%
  • 3-Month T-Bill Yield 1.98% +1.0 basis point
  • Yield Curve 0.0 -1.25 basis points
  • China Iron Ore Spot 82.80 USD/Metric Tonne +2.45%
  • Citi US Economic Surprise Index -14.2 -4.1 points
  • Citi Eurozone Economic Surprise Index -41.70 +18.2 points
  • Citi Emerging Markets Economic Surprise Index -25.1 +.2 point
  • 10-Year TIPS Spread 1.55 +1.0 basis point
  • 100.0% chance of Fed rate cut at Oct. 30th meeting, 100.0% chance of cut at Dec. 11th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -9 open in Japan 
  • China A50 Futures: Indicating -33 open in China
  • DAX Futures: Indicating +10 open in Germany
Portfolio:
  • Slightly Higher: On gains in my retail/tech/industrial sector longs and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some
  • Market Exposure: 75% Net Long

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