Monday, August 17, 2020

Stocks Higher into Afternoon on Global Central Bank Stimulus Hopes, Oil Gain, Short-Covering, Biotech/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.8 -1.0%
  • Euro/Yen Carry Return Index 130.37 -.32%
  • Emerging Markets Currency Volatility(VXY) 11.17 -.09%
  • S&P 500 Implied Correlation 44.1 -3.8%
  • ISE Sentiment Index 104.0 +16.0 points
  • Total Put/Call .71 -6.6%
  • NYSE Arms 1.53 +98.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.02 -1.24%
  • US Energy High-Yield OAS 772.41 +.92%
  • European Financial Sector CDS Index 64.57 +.09%
  • Italian/German 10Y Yld Spread 140.5 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index  65.68 +.2%
  • Emerging Market CDS Index 188.57 -.93%
  • iBoxx Offshore RMB China Corporate High Yield Index 177.08 +.05%
  • 2-Year Swap Spread 8.0 -1.0 basis point
  • TED Spread 18.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -.75 -.5 basis point
  • MBS  5/10 Treasury Spread  91.0 +4.0 basis points
  • IHS Markit CMBX BBB- 6 68.75 +.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.15 -.34%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 53.0 -1.5 basis points
  • China Iron Ore Spot 118.78 USD/Metric Tonne +1.61%
  • Citi US Economic Surprise Index 239.3 -14.0 points
  • Citi Eurozone Economic Surprise Index 190.20 -13.2 points
  • Citi Emerging Markets Economic Surprise Index 19.4 +2.3 points
  • 10-Year TIPS Spread 1.65 -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 +133 open in Japan 
  • China A50 Futures: Indicating -14 open in China
  • DAX Futures: Indicating -11 open in Germany
Portfolio:
  • Slightly Higher: On gains in my biotech/medical/tech/consumer staple sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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