Monday, February 24, 2020

Stocks Falling Substantially into Final Hour on Coronavirus Fears, European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Healthcare/Energy Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Underperforming 
Equity Investor Angst:
  • Volatility(VIX) 24.3 +42.1%
  • Euro/Yen Carry Return Index 124.58 -.82%
  • Emerging Markets Currency Volatility(VXY) 7.2 +4.2%
  • S&P 500 Implied Correlation 46.4 +20.0%
  • ISE Sentiment Index 83.0 -5
  • Total Put/Call 1.07 -1.83%
  • NYSE Arms 1.38 +23.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.69 +13.65%
  • America Energy Sector High-Yield CDS Index 658.0 +3.80%
  • European Financial Sector CDS Index 56.0 +14.2%
  • Italian/German 10Y Yld Spread 145.0 +10.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 52.12 +7.8%
  • Emerging Market CDS Index 204.24 +5.13%
  • iBoxx Offshore RMB China Corporate High Yield Index 170.99 +.11%
  • 2-Year Swap Spread 1.25 -.5 basis point
  • TED Spread 13.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -2.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 64.12 -.5%
  • 3-Month T-Bill Yield 1.53% -2.0 basis points
  • Yield Curve .12 unch.
  • China Iron Ore Spot 87.35 USD/Metric Tonne -1.92%
  • Citi US Economic Surprise Index 46.60 -4.1 points
  • Citi Eurozone Economic Surprise Index -3.10 +2.6 points
  • Citi Emerging Markets Economic Surprise Index 21.9 +1.0 point
  • 10-Year TIPS Spread 1.59 -3.0 basis points
  • 46.2% chance of 25.0 basis point Fed rate cut at April 29th meeting, 45.1% chance of 25.0 basis point cut at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -121 open in Japan 
  • China A50 Futures: Indicating -282 open in China
  • DAX Futures: Indicating -11 open in Germany
Portfolio:
  • Slightly Higher: On gains in my index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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