Wednesday, August 21, 2019

Stocks Rising into Final Hour on Earnings Optimism, China Trade Deal Hopes, Short-Covering, Retail/Tech Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.87 -9.3%
  • Euro/Yen Carry Return Index 122.70 +.2%
  • Emerging Markets Currency Volatility(VXY) 8.65 -1.14%
  • S&P 500 Implied Correlation 43.0 -5.8%
  • ISE Sentiment Index 51.0 -40.7%
  • Total Put/Call 1.42 +65.1%
  • NYSE Arms 1.06 -36.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.52 -3.07%
  • America Energy Sector High-Yield CDS Index 413.0 -1.13%
  • European Financial Sector CDS Index 61.37 -5.87%
  • Italian/German 10Y Yld Spread 200.25 -6.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 65.42 -.97%
  • Emerging Market CDS Index 206.53 -2.14%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.86 +.06%
  • 2-Year Swap Spread -.5 -1.0 basis point
  • TED Spread 24.0 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.75 -1.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.62 +.35%
  • 3-Month T-Bill Yield 1.97% +7.0 basis points
  • Yield Curve 1.25 -3.5 basis points
  • China Iron Ore Spot 78.34 USD/Metric Tonne -5.03%
  • Citi US Economic Surprise Index -10.1 +.8 point
  • Citi Eurozone Economic Surprise Index -59.90 +.4 point
  • Citi Emerging Markets Economic Surprise Index -25.3 +.3 point
  • 10-Year TIPS Spread 1.54 unch.
  • 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 +42 open in Japan 
  • China A50 Futures: Indicating +46 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio:
  • Higher: On gains in my retail/biotech/tech/medical/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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