Thursday, October 03, 2019

Stocks Reversing Higher into Final Hour on Rising Fed Rate-Cut Odds, Diminished China Trade Deal Tensions, Short-Covering, Biotech/Tech Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.25 -6.4%
  • Euro/Yen Carry Return Index 121.83 -.1%
  • Emerging Markets Currency Volatility(VXY) 8.14 +.12%
  • S&P 500 Implied Correlation 46.96 -5.0%
  • ISE Sentiment Index 82.0 +34.0%
  • Total Put/Call 1.32 +3.94%
  • NYSE Arms .65 -59.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.05 +.64%
  • America Energy Sector High-Yield CDS Index 491.0 -4.44%
  • European Financial Sector CDS Index 69.15 +2.99%
  • Italian/German 10Y Yld Spread 141.75 -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 78.73 +2.13%
  • Emerging Market CDS Index 212.29 -.45%
  • iBoxx Offshore RMB China Corporate High Yield Index 166.12 +.04%
  • 2-Year Swap Spread 4.25 +.75 basis point
  • TED Spread 38.75 +6.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -27.5 +1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.50 +.51%
  • 3-Month T-Bill Yield 1.70% -5.0 basis points
  • Yield Curve .15 +4.0 basis points
  • China Iron Ore Spot 88.30 USD/Metric Tonne -.32%
  • Citi US Economic Surprise Index 24.50 -8.6 points
  • Citi Eurozone Economic Surprise Index -77.20 -7.9 points
  • Citi Emerging Markets Economic Surprise Index -8.80 +.2 point
  • 10-Year TIPS Spread 1.48 -2.0 basis points
  • 95.7% chance of Fed rate cut at Dec. 11th meeting, 99.5% chance of cut at Jan. 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +14 open in Japan 
  • China A50 Futures: Indicating -54 open in China
  • DAX Futures: Indicating +29 open in Germany
Portfolio:
  • Higher: On gains in my 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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