Friday, March 27, 2020

Stocks Substantially Lower into Final Hour on Coronavirus Fears, Global Recession Worries, Oil Decline, Energy/Airline Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 63.7 +4.7%
  • Euro/Yen Carry Return Index 124.25 -.99%
  • Emerging Markets Currency Volatility(VXY) 12.69 +4.6%
  • S&P 500 Implied Correlation 76.7 +24.0%
  • ISE Sentiment Index 100.0 +32
  • Total Put/Call .99 +2.1%
  • NYSE Arms 1.52 +43.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 105.75 +7.5%
  • America Energy Sector High-Yield CDS Index 1,338.0 -4.15%
  • European Financial Sector CDS Index 112.12 +12.5%
  • Italian/German 10Y Yld Spread 180.0 +21.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 135.40 +2.69%
  • Emerging Market CDS Index 293.0 +16.5%
  • iBoxx Offshore RMB China Corporate High Yield Index 169.94 +.09%
  • 2-Year Swap Spread 25.5 +2.25 basis points
  • TED Spread 142.0 +9.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 23.5 -1.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.26 -.31%
  • 3-Month T-Bill Yield -.04% +5.0 basis points
  • Yield Curve .48 -1.0 basis point
  • China Iron Ore Spot 82.75 USD/Metric Tonne -1.79%
  • Citi US Economic Surprise Index -1.3 -2.3 points
  • Citi Eurozone Economic Surprise Index -57.70 +1.2 points
  • Citi Emerging Markets Economic Surprise Index -24.2 +20.2 points
  • 10-Year TIPS Spread .96 -12.0 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 -379 open in Japan 
  • China A50 Futures: Indicating -154 open in China
  • DAX Futures: Indicating +1 open in Germany
Portfolio:
  • Higher: On gains in my consumer staple sector longs, index hedges and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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