Wednesday, August 05, 2020

Stocks Higher into Afternoon on US Economic Data, Oil Gain, Short-Covering, Retail/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) 23.1 -2.9%
  • Euro/Yen Carry Return Index 129.89 +.41%
  • Emerging Markets Currency Volatility(VXY) 11.0 +.09%
  • S&P 500 Implied Correlation 49.1 -2.8%
  • ISE Sentiment Index 114 .0 +18.0 points
  • Total Put/Call .68 -8.1%
  • NYSE Arms .99 +10.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.74 -1.3%
  • US Energy High-Yield OAS 815.36 -1.52%
  • European Financial Sector CDS Index 64.90 -4.0%
  • Italian/German 10Y Yld Spread 150.25 -1.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index  68.89 -2.75%
  • Emerging Market CDS Index 189.18 -39%
  • iBoxx Offshore RMB China Corporate High Yield Index 177.14 +.13%
  • 2-Year Swap Spread 7.75 +.25 basis point
  • TED Spread 15.75 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.5 +1.25 basis points
  • MBS  5/10 Treasury Spread  81.0 unch.
  • IHS Markit CMBX BBB- 6 67.75 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.92 +.01%
  • 3-Month T-Bill Yield .10% +2.0 basis points
  • Yield Curve 40.5 +1.25 basis points
  • China Iron Ore Spot 114.0 USD/Metric Tonne +1.57%
  • Citi US Economic Surprise Index 218.9 -6.5 points
  • Citi Eurozone Economic Surprise Index 180.40 -2.4 points
  • Citi Emerging Markets Economic Surprise Index -6.2 +1.3 points
  • 10-Year TIPS Spread 1.61 +2.0 basis points
  • 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 +6 open in Japan 
  • China A50 Futures: Indicating -64 open in China
  • DAX Futures: Indicating -41 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/industrial/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

No comments: