Tuesday, April 07, 2020

Stocks Higher into Final Hour on Peak Coronavirus Hopes, Global Stimulus, Short-Covering, Airline/Gaming 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) 44.6 -1.3%
  • Euro/Yen Carry Return Index 123.22 +.75%
  • Emerging Markets Currency Volatility(VXY) 12.3 -2.5%
  • S&P 500 Implied Correlation 74.8 +4.1%
  • ISE Sentiment Index 101.0 +32.0 points
  • Total Put/Call .87 -9.4%
  • NYSE Arms .80 +9.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 112.26 -5.1%
  • America Energy Sector High-Yield CDS Index 1,417.0 +8.0%
  • European Financial Sector CDS Index 111.64 -5.51%
  • Italian/German 10Y Yld Spread 192.5 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 136.96 -5.1%
  • Emerging Market CDS Index 341.16 -6.74%
  • iBoxx Offshore RMB China Corporate High Yield Index 155.62 -.33%
  • 2-Year Swap Spread 25.0 +2.25 basis points
  • TED Spread 128.0 -5.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 47.0 -7.5 basis points
  • MBS  5/10 Treasury Spread  117.0 -5.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.62 +1.16%
  • 3-Month T-Bill Yield .10% +2.0 basis points
  • Yield Curve .46 +6.0 basis points
  • China Iron Ore Spot 79.53 USD/Metric Tonne -.23%
  • Citi US Economic Surprise Index -42.9 +1.4 points
  • Citi Eurozone Economic Surprise Index -67.60 +5.1 points
  • Citi Emerging Markets Economic Surprise Index .4 +2.3 points
  • 10-Year TIPS Spread 1.17 +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 +395 open in Japan 
  • China A50 Futures: Indicating -138 open in China
  • DAX Futures: Indicating -61 open in Germany
Portfolio:
  • Higher: On gains in my consumer staple/industrial/tech/medical sector long
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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