Monday, February 10, 2020

Stocks Rising into Final Hour on China Stimulus Hopes, Short-Covering, Technical Buying, Tech/Homebuilding Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.5 unch.
  • Euro/Yen Carry Return Index 124.19 -.37%
  • Emerging Markets Currency Volatility(VXY) 6.98 +.72%
  • S&P 500 Implied Correlation 37.3 +.7%
  • ISE Sentiment Index 97.0 +27
  • Total Put/Call .82 -14.6%
  • NYSE Arms 1.57 +6.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 45.80 -.35%
  • America Energy Sector High-Yield CDS Index 629.0 +.67%
  • European Financial Sector CDS Index 49.59 +.96%
  • Italian/German 10Y Yld Spread 136.25 +3.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 52.07 -1.8%
  • Emerging Market CDS Index 194.04 +2.23%
  • iBoxx Offshore RMB China Corporate High Yield Index 169.82 +.01%
  • 2-Year Swap Spread 3.75 -1.5 basis points
  • TED Spread 19.5 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -7.25 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 64.91 -.14%
  • 3-Month T-Bill Yield 1.56% unch.
  • Yield Curve .18 -2.0 basis points
  • China Iron Ore Spot 79.55 USD/Metric Tonne +1.89%
  • Citi US Economic Surprise Index 46.20 +.8 point
  • Citi Eurozone Economic Surprise Index -16.5 -7.0 points
  • Citi Emerging Markets Economic Surprise Index 24.9 +1.4 points
  • 10-Year TIPS Spread 1.65 -1.0 basis point
  • 31.9% chance of Fed April 29th meeting, 50.8% chance of cut at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -30 open in Japan 
  • China A50 Futures: Indicating -75 open in China
  • DAX Futures: Indicating -13 open in Germany
Portfolio:
  • Slightly Lower: On losses in my index hedges and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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