Wednesday, February 12, 2020

Stocks Higher into Final Hour on Diminishing Coronavirus Fears, China Stimulus Hopes, Oil Gain, Energy/Healthcare Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 13.9 -8.7%
  • Euro/Yen Carry Return Index 124.16 -.15%
  • Emerging Markets Currency Volatility(VXY) 6.74 -.88%
  • S&P 500 Implied Correlation 36.22 -1.87%
  • ISE Sentiment Index 103.0 -39
  • Total Put/Call .69 -6.8%
  • NYSE Arms .80 -9.09%
Credit Investor Angst:
  • North American Investment Grade CDS Index 44.11 -1.89%
  • America Energy Sector High-Yield CDS Index 630.0 -2.85%
  • European Financial Sector CDS Index 47.30 -3.07%
  • Italian/German 10Y Yld Spread 129.0 -7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 49.11 -3.01%
  • Emerging Market CDS Index 192.15 -.72%
  • iBoxx Offshore RMB China Corporate High Yield Index 169.88 +.02%
  • 2-Year Swap Spread 4.25 +1.5 basis points
  • TED Spread 14.25 -4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -7.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 65.08 -.07%
  • 3-Month T-Bill Yield 1.57%+1.0 basis point
  • Yield Curve .18 unch.
  • China Iron Ore Spot 85.92 USD/Metric Tonne +2.75%
  • Citi US Economic Surprise Index 46.30 +1.1 points
  • Citi Eurozone Economic Surprise Index -19.3 -1.9 points
  • Citi Emerging Markets Economic Surprise Index 21.1 -5.0 points
  • 10-Year TIPS Spread 1.67 +2.0 basis points
  • 19.6% chance of Fed April 29th meeting, 37.2% chance of cut at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +109 open in Japan 
  • China A50 Futures: Indicating +24 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio:
  • Higher: On gains in my tech/industrial/retail sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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