Friday, March 20, 2020

Stocks Falling Substantially into Final Hour on Coronavirus Fears, Global Recession Worries, Oil Plunge, Financial/Healthcare Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Heavy
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 61.7 -14.4%
  • Euro/Yen Carry Return Index 122.77 +.03%
  • Emerging Markets Currency Volatility(VXY) 14.2 -5.9%
  • S&P 500 Implied Correlation 69.6 -19.4%
  • ISE Sentiment Index 78.0 -33
  • Total Put/Call 1.17 -23.8%
  • NYSE Arms 1.36 +42.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 141.72 +.87%
  • America Energy Sector High-Yield CDS Index 1,509.0 -4.2%
  • European Financial Sector CDS Index 133.90 -1.34%
  • Italian/German 10Y Yld Spread 195.25 +1.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 185.64 +18.61%
  • Emerging Market CDS Index 399.22 -9.58%
  • iBoxx Offshore RMB China Corporate High Yield Index 170.85 +.07%
  • 2-Year Swap Spread 19.5 -1.75 basis points
  • TED Spread 113.0 +6.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 0.0 +42.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.25 +.21%
  • 3-Month T-Bill Yield -.03% -1.0 basis point
  • Yield Curve .75 unch.
  • China Iron Ore Spot 84.65 USD/Metric Tonne -2.3%
  • Citi US Economic Surprise Index 45.30 +2.5 points
  • Citi Eurozone Economic Surprise Index 2.6 -.2 point
  • Citi Emerging Markets Economic Surprise Index -36.3 +3.5 points
  • 10-Year TIPS Spread .67 +17.0 basis points
  • n/a chance of no change at April 29th meeting, n/a chance of no change at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +1,058 open in Japan 
  • China A50 Futures: Indicating -384 open in China
  • DAX Futures: Indicating -214 open in Germany
Portfolio:
  • Lower: On losses in my tech/industrial/consumer staple/biotech sector longs and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

No comments: