Tuesday, March 10, 2020

Stocks Surging into Close on Global Stimulus Hopes, Short-Covering, Oil Gain, Financial/Energy Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 49.5 -9.1%
  • Euro/Yen Carry Return Index 123.72 +1.8%
  • Emerging Markets Currency Volatility(VXY) 10.0 -5.8%
  • S&P 500 Implied Correlation 67.49 +20.0%
  • ISE Sentiment Index 72.0 -20
  • Total Put/Call 1.14 -37.4%
  • NYSE Arms .43 -71.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 104.40 -1.93%
  • America Energy Sector High-Yield CDS Index 1,056.0 -2.26%
  • European Financial Sector CDS Index 115.94 -5.37%
  • Italian/German 10Y Yld Spread 211.50 -13.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 93.80 -8.73%
  • Emerging Market CDS Index 319.91 -5.7%
  • iBoxx Offshore RMB China Corporate High Yield Index 171.68 -.15%
  • 2-Year Swap Spread 5.75 -8.25 basis points
  • TED Spread 50.75 +6.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.25 +9.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.63 +.54%
  • 3-Month T-Bill Yield .41% +5.0 basis points
  • Yield Curve .22 +2.0 basis points
  • China Iron Ore Spot 89.20 USD/Metric Tonne +.47%
  • Citi US Economic Surprise Index 72.10 +2.5 points
  • Citi Eurozone Economic Surprise Index 11.3 +2.7 points
  • Citi Emerging Markets Economic Surprise Index -18.3 +.1 point
  • 10-Year TIPS Spread 1.02 +2.0 basis points
  • 51.6% chance of 75.0 basis point Fed rate cut at April 29th meeting, 51.2% chance of 75.0 basis point cut at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +138 open in Japan 
  • China A50 Futures: Indicating +161 open in China
  • DAX Futures: Indicating +323 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech/medical/retail/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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