Wednesday, August 12, 2020

Stocks Higher into Final Hour on Vaccine Optimism, Global Stimulus Hopes, Oil Gain, Tech/Utility 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) 22.0 -8.7%
  • Euro/Yen Carry Return Index 130.61 +.79%
  • Emerging Markets Currency Volatility(VXY) 11.2 +.09%
  • S&P 500 Implied Correlation 44.7 -6.0%
  • ISE Sentiment Index 97 .0 -33.0 points
  • Total Put/Call .76 +10.1%
  • NYSE Arms 1.36 +34.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.25 -2.4%
  • US Energy High-Yield OAS 756.02 +.07%
  • European Financial Sector CDS Index 60.96 -2.19%
  • Italian/German 10Y Yld Spread 141.25 -2.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index  65.63 -.77%
  • Emerging Market CDS Index 183.72 -1.08%
  • iBoxx Offshore RMB China Corporate High Yield Index 177.14 +.01%
  • 2-Year Swap Spread 7.75 -.25 basis point
  • TED Spread 15.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -.25 +1.0 basis point
  • MBS  5/10 Treasury Spread  84.5 +3.5 basis points
  • IHS Markit CMBX BBB- 6 68.5 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.33 -.24%
  • 3-Month T-Bill Yield .10% unch.
  • Yield Curve 50.5 +5.25 basis points
  • China Iron Ore Spot 113.75 USD/Metric Tonne -2.21%
  • Citi US Economic Surprise Index 249.1 +23.9 points
  • Citi Eurozone Economic Surprise Index 209.10 -3.3 points
  • Citi Emerging Markets Economic Surprise Index 20.3 -6.7 points
  • 10-Year TIPS Spread 1.66 +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 +390 open in Japan 
  • China A50 Futures: Indicating -20 open in China
  • DAX Futures: Indicating +8 open in Germany
Portfolio:
  • Higher: On gains in my consumer staple/tech/industrial/medical/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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