Thursday, March 19, 2020

Stocks Reversing Higher into Final Hour on Oil Surge, Yen Weakness, Short-Covering, Restaurant/Homebuilding Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Heavy
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 70.75 -7.5%
  • Euro/Yen Carry Return Index 122.43 +.07%
  • Emerging Markets Currency Volatility(VXY) 15.7 +14.5%
  • S&P 500 Implied Correlation 74.0 -14.3%
  • ISE Sentiment Index 111.0 +53
  • Total Put/Call 1.12 -16.4%
  • NYSE Arms .87 -18.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 136.26 -1.47%
  • America Energy Sector High-Yield CDS Index 1,573.0 +5.83%
  • European Financial Sector CDS Index 136.7 -16.6%
  • Italian/German 10Y Yld Spread 193.5 -73.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 154.5 +3.0%
  • Emerging Market CDS Index 444.47 -2.87%
  • iBoxx Offshore RMB China Corporate High Yield Index 170.73 -.18%
  • 2-Year Swap Spread 21.25 +11.25 basis points
  • TED Spread 107.0 +18.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -42.25 -15.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.06 -.81%
  • 3-Month T-Bill Yield -.02% -3.0 basis points
  • Yield Curve .75 +19.0 basis points
  • China Iron Ore Spot 86.76 USD/Metric Tonne -3.6%
  • Citi US Economic Surprise Index 42.80 -17.9 points
  • Citi Eurozone Economic Surprise Index 2.6 -.2 point
  • Citi Emerging Markets Economic Surprise Index -3.8 -.5 point
  • 10-Year TIPS Spread .50 -14.0 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 +1,088 open in Japan 
  • China A50 Futures: Indicating +176 open in China
  • DAX Futures: Indicating +101 open in Germany
Portfolio:
  • Higher: On gains in my biotech, tech, industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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