Friday, April 17, 2020

Stocks Higher into Afternoon on Economic Recovery Hopes, Diminishing Coronavirus Fears, Short-Covering, Energy/Financial 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) 39.1 -2.5%
  • Euro/Yen Carry Return Index 121.22 -.05%
  • Emerging Markets Currency Volatility(VXY) 11.4 -.26%
  • S&P 500 Implied Correlation 72.83 -2.5%
  • ISE Sentiment Index 73.0 +5.0 points
  • Total Put/Call .92 +2.22%
  • NYSE Arms .84 -39.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 87.65 -.59%
  • America Energy Sector High-Yield CDS Index 1,325.0 +2.7%
  • European Financial Sector CDS Index 101.30 -2.79%
  • Italian/German 10Y Yld Spread 226.5 -4.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 116.62 -1.39%
  • Emerging Market CDS Index 346.20 -1.5%
  • iBoxx Offshore RMB China Corporate High Yield Index 160.31 +.24%
  • 2-Year Swap Spread 21.50 unch.
  • TED Spread 103.0 -2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 45.0 +4.0 basis points
  • MBS  5/10 Treasury Spread  129.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.40 +.30%
  • 3-Month T-Bill Yield .11% -1.0 basis point
  • Yield Curve 44.0 -.25 basis point
  • China Iron Ore Spot 83.20 USD/Metric Tonne +.14%
  • Citi US Economic Surprise Index -129.0 +2.1 points
  • Citi Eurozone Economic Surprise Index -61.40 unch.
  • Citi Emerging Markets Economic Surprise Index -5.60 -19.0 points
  • 10-Year TIPS Spread 1.01 -2.0 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 -477 open in Japan 
  • China A50 Futures: Indicating -106 open in China
  • DAX Futures: Indicating -5 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech/medical/industrial sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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