Wednesday, October 09, 2019

Stocks Rising into Final Hour on China Trade Deal Hopes, FOMC Commentary, Yen Weakness, Tech/Transport Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 18.8 -7.4%
  • Euro/Yen Carry Return Index 122.51 +.58%
  • Emerging Markets Currency Volatility(VXY) 8.27 +.85%
  • S&P 500 Implied Correlation 46.29 -6.3%
  • ISE Sentiment Index 115.0 +53.1%
  • Total Put/Call 1.09 +11.2%
  • NYSE Arms 1.09 -44.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 61.84 -1.14%
  • America Energy Sector High-Yield CDS Index 525.0 +3.84%
  • European Financial Sector CDS Index 68.21 -1.85%
  • Italian/German 10Y Yld Spread 141.75 -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 78.27 -.99%
  • Emerging Market CDS Index 213.72 -1.04%
  • iBoxx Offshore RMB China Corporate High Yield Index 166.36 +.05%
  • 2-Year Swap Spread 2.5 -.5 basis point
  • TED Spread 34.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.25 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.24 +.05%
  • 3-Month T-Bill Yield 1.67% -1.0 basis point
  • Yield Curve .11 +2.0 basis points
  • China Iron Ore Spot 86.80 USD/Metric Tonne -3.7%
  • Citi US Economic Surprise Index 17.70 -1.3 points
  • Citi Eurozone Economic Surprise Index -76.70 -.6 point
  • Citi Emerging Markets Economic Surprise Index -11.20 -.2 point
  • 10-Year TIPS Spread 1.49 +1.0 basis point
  • 91.6% chance of Fed rate cut at Dec. 11th meeting, 95.1% chance of cut at Jan. 29th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +149 open in Japan 
  • China A50 Futures: Indicating +30 open in China
  • DAX Futures: Indicating +2 open in Germany
Portfolio:
  • Higher: On gains in my tech/retail/medical/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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