Wednesday, July 15, 2020

Stocks Higher into Final Hour on Vaccine Hopes, Better Economic Data, Short-Covering, Airline/Gaming 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) 28.4 -3.8%
  • Euro/Yen Carry Return Index 126.44 -.22%
  • Emerging Markets Currency Volatility(VXY) 9.75 -.61%
  • S&P 500 Implied Correlation 56.3 -1.7%
  • ISE Sentiment Index 83.0 -22.0 points
  • Total Put/Call .60 -28.6%
  • NYSE Arms 1.6 +68.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.79 -2.09%
  • US Energy High-Yield OAS 896.20 -1.34%
  • European Financial Sector CDS Index 71.75 -3.12%
  • Italian/German 10Y Yld Spread 163.5 -2.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index  79.20 -1.41%
  • Emerging Market CDS Index 191.87 -2.27%
  • iBoxx Offshore RMB China Corporate High Yield Index 174.85 +.07%
  • 2-Year Swap Spread 6.75 unch.
  • TED Spread 14.0 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -7.0 +1.75 basis points
  • MBS  5/10 Treasury Spread  97.0 -2.0 basis points
  • IHS Markit CMBX BBB- 6 67.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.83 +.13%
  • 3-Month T-Bill Yield .13% unch.
  • Yield Curve 48.0 +2.0 basis points
  • China Iron Ore Spot 108.36 USD/Metric Tonne -.68%
  • Citi US Economic Surprise Index 256.9 +13.5 points
  • Citi Eurozone Economic Surprise Index -20.0 +5.3 points
  • Citi Emerging Markets Economic Surprise Index -16.70 +5.4 points
  • 10-Year TIPS Spread 1.41 +1.0 basis point
  • 100.0% chance of no change at Sept. 16 meeting, 100.0% chance of no change at Nov. 5th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +5 open in Japan 
  • China A50 Futures: Indicating +26 open in China
  • DAX Futures: Indicating -10 open in Germany
Portfolio:
  • Slightly Higher: On gains in my industrial/biotech/medical/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

No comments: