Monday, August 10, 2020

Stocks Higher into Afternoon on Global Stimulus Hopes, Oil Gain, Short-Covering, Gaming/Commodity Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.1 -.3%
  • Euro/Yen Carry Return Index 129.03 -.32%
  • Emerging Markets Currency Volatility(VXY) 11.5 -.6%
  • S&P 500 Implied Correlation 42.8 -4.9%
  • ISE Sentiment Index 111 .0 +8.0 points
  • Total Put/Call .64 -11.1%
  • NYSE Arms .81 -25.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.89 +1.6%
  • US Energy High-Yield OAS 760.95 -.27%
  • European Financial Sector CDS Index 64.47 -.78%
  • Italian/German 10Y Yld Spread 142.75 -5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index  67.14 -.69%
  • Emerging Market CDS Index 186.99 -1.23%
  • iBoxx Offshore RMB China Corporate High Yield Index 177.15 +.07%
  • 2-Year Swap Spread 9.0 +.5 basis point
  • TED Spread 16.25 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.25 -.5 basis point
  • MBS  5/10 Treasury Spread  79.75 -.5 basis point
  • IHS Markit CMBX BBB- 6 67.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.16 -.29%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 40.5 unch.
  • China Iron Ore Spot 114.65 USD/Metric Tonne +1.08%
  • Citi US Economic Surprise Index 225.5 +2.5 points
  • Citi Eurozone Economic Surprise Index 208.0 -3.9 points
  • Citi Emerging Markets Economic Surprise Index 3.7 +2.6 points
  • 10-Year TIPS Spread 1.61 -1.0 basis point
  • 100.0% chance of no change at Nov. 5th meeting, 100.0% chance of no change at Dec. 16th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +171 open in Japan 
  • China A50 Futures: Indicating +47 open in China
  • DAX Futures: Indicating +23 open in Germany
Portfolio:
  • Slightly Higher: On gains in my consumer staple/industrial/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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