Tuesday, February 25, 2020

Stocks Falling Substantially into Final Hour on Coronavirus Fears, European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Energy/Transport 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) 28.9 +15.7%
  • Euro/Yen Carry Return Index 124.28 -.32%
  • Emerging Markets Currency Volatility(VXY) 7.2 -.14%
  • S&P 500 Implied Correlation 52.19 +6.62%
  • ISE Sentiment Index 79.0 -4
  • Total Put/Call 1.12 +4.7%
  • NYSE Arms .92 -44.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.69 +8.53%
  • America Energy Sector High-Yield CDS Index 704.0 +7.34%
  • European Financial Sector CDS Index 58.58 +4.58%
  • Italian/German 10Y Yld Spread 150.0 +5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 52.95 +.99%
  • Emerging Market CDS Index 212.14 +3.65%
  • iBoxx Offshore RMB China Corporate High Yield Index 171.0 +.01%
  • 2-Year Swap Spread 1.5 +.25 basis point
  • TED Spread 13.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.75 +2.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 64.05 -.12%
  • 3-Month T-Bill Yield 1.51% -2.0 basis points
  • Yield Curve .12 unch.
  • China Iron Ore Spot 88.29 USD/Metric Tonne +1.02%
  • Citi US Economic Surprise Index 44.80 -1.8 points
  • Citi Eurozone Economic Surprise Index -2.30 -.8 point
  • Citi Emerging Markets Economic Surprise Index 16.2 -5.7 points
  • 10-Year TIPS Spread 1.53 -6.0 basis points
  • 47.3% chance of 25.0 basis point Fed rate cut at April 29th meeting, 44.8% chance of 25.0 basis point cut at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -670 open in Japan 
  • China A50 Futures: Indicating -282 open in China
  • DAX Futures: Indicating -175 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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