Thursday, March 26, 2020

Stocks Substantially Higher into Final Hour on Global Stimulus Hopes, Less European/Emerging Markets/US High-Yield Debt Angst, Short-Covering, Defense/Utility Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 60.1 -6.3%
  • Euro/Yen Carry Return Index 125.33 -.23%
  • Emerging Markets Currency Volatility(VXY) 12.41 -.16%
  • S&P 500 Implied Correlation 68.23 +10.3%
  • ISE Sentiment Index 68.0 -7
  • Total Put/Call .93 -2.11%
  • NYSE Arms 1.36 +22.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 97.95 -5.24%
  • America Energy Sector High-Yield CDS Index 1,399.0 -5.62%
  • European Financial Sector CDS Index 98.05 -3.52%
  • Italian/German 10Y Yld Spread 158.75 -21.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 132.0 -12.9%
  • Emerging Market CDS Index 293.0 -5.2%
  • iBoxx Offshore RMB China Corporate High Yield Index 169.79 -.10%
  • 2-Year Swap Spread 23.25 +3.75 basis points
  • TED Spread 133.0 +8.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 24.5 +17.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.41 +1.14%
  • 3-Month T-Bill Yield -.09% -2.0 basis points
  • Yield Curve .48 -1.0 basis point
  • China Iron Ore Spot 83.65 USD/Metric Tonne -1.72%
  • Citi US Economic Surprise Index 1.0 -60.7 points
  • Citi Eurozone Economic Surprise Index -58.50 -3.6 points
  • Citi Emerging Markets Economic Surprise Index -44.4 +4.2 points
  • 10-Year TIPS Spread 1.08 +3.0 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 +835 open in Japan 
  • China A50 Futures: Indicating +207 open in China
  • DAX Futures: Indicating -71 open in Germany
Portfolio:
  • Higher: On gains in my tech/biotech/industrial/medical/consumer staple sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and emerging market shorts, then added some back
  • Market Exposure: Moved to 50% Net Long

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