BETWEEN THE HEDGES

Thursday, July 30, 2020

Stocks Mostly Lower into Afternoon on Global Recession Fears, Earnings Outlooks, Oil Decline, Energy/Financial Sector Weakness

Posted by Gary .....at 2:42 PM

Broad Equity Market Tone:

Advance/Decline Line: Lower

Sector Performance: Most Sectors Declining

Volume: Below Average

Market Leading Stocks: Performing In Line

Equity Investor Angst:

Volatility(VIX) 25.4 +5.5%

Euro/Yen Carry Return Index 128.61 +.28%

Emerging Markets Currency Volatility(VXY) 10.2 +2.4%

S&P 500 Implied Correlation 60.0 +3.7%

ISE Sentiment Index 146 .0 +36.0 points

Total Put/Call .76 +4.1%

NYSE Arms 1.31 +4.8%

Credit Investor Angst:

North American Investment Grade CDS Index 70.62 +1.04%

US Energy High-Yield OAS 854.83 +.16%

European Financial Sector CDS Index 73.12 +5.3%

Italian/German 10Y Yld Spread 150.0 -.75 basis points

Asia Ex-Japan Investment Grade CDS Index 73.87 -1.03%

Emerging Market CDS Index 192.73 +2.1%

iBoxx Offshore RMB China Corporate High Yield Index 176.84 +.05%

2-Year Swap Spread 6.75 -1.0 basis point

TED Spread 17.75 +.75 basis point

3-Month EUR/USD Cross-Currency Basis Swap -3.5 +1.75 basis points
MBS 5/10 Treasury Spread 90.75 -1.25 basis points
IHS Markit CMBX BBB- 6 67.0 +.25 basis point

Economic Gauges:

Bloomberg Emerging Markets Currency Index 61.32 -.23%
3-Month T-Bill Yield .09% -1.0 basis point

Yield Curve 44.25 +.5 basis point

China Iron Ore Spot 103.49 USD/Metric Tonne -1.19%

Citi US Economic Surprise Index 247.1 +17.1 points

Citi Eurozone Economic Surprise Index 128.80 -19.5 points

Citi Emerging Markets Economic Surprise Index -18.1 +1.5 points

10-Year TIPS Spread 1.52 -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 -134 open in Japan
China A50 Futures: Indicating -122 open in China

DAX Futures: Indicating +37 open in Germany

Portfolio:

Higher: On gains in my tech/biotech sector longs and emerging market shorts

Disclosed Trades: None

Market Exposure: 50% Net Long

Bear Radar

Posted by Gary .....at 1:40 PM

Style Underperformer:

Small-Cap Value -1.2%

Sector Underperformers:

1) Energy -4.1% 2) Banks -2.7% 3) Road & Rail -2.5%

Stocks Falling on Unusual Volume:

CERN, CFFA, NOW, SMG, SNDR, URI, CAR, BKR, NBL, RJF, MMP, INSG, YUM, BC, AGYS, WAFD, KHC, ITGR, MNRO, FEYE, DNKN, CXO, XOM, EPD, TUP, NGVT, MTZ, SIGI, LB, LLY, BAX, PPC, COP, PLCE, VLO, PRDO, RVMD, WNC, BHE, AOS, SIX, TENB, DAN, SRI, STBA, SBH, PI, TSE and KRA

Stocks With Unusual Put Option Activity:

1) JWN 2) EWW 3) KODK 4) FITB 5) OSTK

Stocks With Most Negative News Mentions:

1) QEP 2) COP 3) STBA 4) BYND 5) CHRW

Charts:

Bull Radar

Posted by Gary .....at 1:15 PM

Style Outperformer:

Mid-Cap Growth +.1%

Sector Outperformers:

1) Gaming +1.4% 2) Semis +1.4% 3) Biotech +.5%

Stocks Rising on Unusual Volume:

OSTK, HOME, UCTT, APA, MTSI, BLKB, UPS, SANM, QCOM, AVTR, KODK, COOP, GNRC, QRVO, FCN, INOV, HOLX, FRG, PS, ELAN, ORLY and PYPL

Stocks With Unusual Call Option Activity:

1) QCOM 2) KODK 3) SH 4) PRPL 5) QRVO

Stocks With Most Positive News Mentions:

1) UPS 2) QCOM 3) HOLX 4) TDOC 5) APA

Charts:

Morning Market Internals

Posted by Gary .....at 11:23 AM

NYSE Composite Index:

Volume Running -16.2% Below 100-Day Average
0 Sectors Rising, 11 Sectors Declining
23.1% of Issues Advancing, 74.3% Declining
39 New 52-Week Highs, 9 New Lows
39.3% of Issues Above 200-day Moving Average
Average 14-Day RSI 54.2%
Vix 26.7 +11.0%
Total Put/Call .72 -1.4%
TRIN/Arms 1.14 -8.8%

Wednesday, July 29, 2020

Thursday Watch

Posted by Gary .....at 10:03 PM

Night Trading

Asian equity indices are -.25% to +.75% on average.

Asia Ex-Japan Investment Grade CDS Index 73.75 -1.25 basis points.

China Sovereign CDS 43.75 -.5 basis point.

Bloomberg Emerging Markets Currency Index 61.33 -.07%.
FTSE 100 futures +.08%.

S&P 500 futures -.08%.

NASDAQ 100 futures -.03%.

Morning Preview Links

Earnings of Note
Company/Estimate

Before the Open:

(AGCO)/.08
(ALXN)/2.58
(AMT)/1.94
(BUD)/.36
(APTV)/-1.36
(MT)/-.11
(AZN)/.92
(BAX)/.71
(BC)/.44
(CG)/.36
(CI)/5.16
(CLF)/-.51
(CMCSA)/.55
(COP)/-.58
(DBD)/-.19
(DNKN)/.49
(DD)/.58
(ELAN)/.07
(LLY)/1.60
(FLR)/.25
(FCN)/1.04
(GNRC)/.88
(GPC)/.92
(ICE)/1.04
(IGT)/-.61
(IP)/.39
(K)/.94
(KHC)/.65
(MA)/1.18
(TAP)/.64
(NEM)/.31
(NOC)/5.28
(ODFL)/1.07
(PBI)/-.01
(PG)/1.01
(RCL)/-4.55
(SWK)/1.28
(UPS)/1.08
(VLO)/-1.40
(YUM)/.54

After the Close:

(GOOG)/8.25
(AMZN)/1.62
(AAPL)/2.07
(DECK)/-1.13
(EA)/.79
(FB)/1.38
(F)/-1.17
(GILD)/1.46
(MGM)/-1.71
(SHAK)/-.38
(SPG)/2.23
(SKYW)/-.21
(SYK)/.57
(X)/-2.79
(XLNX)/.64
(ZEN)/.10

Economic Releases

8:30 am EST

Advance 2Q GDP is estimated to fall -34.5% versus a -5.0% decline in 1Q.
Advance 2Q Personal Consumption is estimated to fall -34.5% versus a -6.8% decline in 1Q.
Advance 2Q GDP Price Index is estimated unch. versus a +1.4% gain in 1Q.
Advance 2Q Core PCE QoQ is estimated to fall -.9% versus a +1.7% gain in 1Q.
Initial Jobless Claims for last week are estimated to rise to 1430K versus 1416K the prior week.
Continuing Claims are estimated to rise to 16250K versus 16197K prior.

Upcoming Splits

None of note

Other Potential Market Movers

The German GDP report, weekly Bloomberg Consumer Comfort Index and the weekly EIA natural gas inventory report could also impact trading today.

Market Hours

Normal:

9:30 am - 4:00 pm EST

BOTTOM LINE: Asian indices are mostly higher, boosted by commodity and technology shares in the region. I expect US stocks to open mixed and to weaken into the afternoon, finishing modestly lower. The Portfolio is 50% net long heading into the day.

Stocks Rising into Final Hour on Global Stimulus Hopes, Earnings Outlooks, Short-Covering, Retail/Healthcare Sector Strength

Posted by Gary .....at 3:19 PM