Wednesday, April 29, 2020

Stocks Soaring into Final Hour on Diminishing Coronavirus Fears, Global Stimulus Hopes, Short-Covering, Energy/Airline Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Heavy
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 31.5 -6.2%
  • Euro/Yen Carry Return Index 120.33 +.32%
  • Emerging Markets Currency Volatility(VXY) 11.5 -3.2%
  • S&P 500 Implied Correlation 67.33 -4.7%
  • ISE Sentiment Index 95.0 +19.0 points
  • Total Put/Call .98 +2.1%
  • NYSE Arms 1.45 +98.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 87.20 -5.6%
  • US Energy High-Yield OAS 1,429.98 -1.5%
  • European Financial Sector CDS Index 95.50 -5.2%
  • Italian/German 10Y Yld Spread 225.25 +5.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 117.50 -1.84%
  • Emerging Market CDS Index 326.26 -7.31%
  • iBoxx Offshore RMB China Corporate High Yield Index 163.57 -.26%
  • 2-Year Swap Spread 13.0 -1.5 basis points
  • TED Spread 75.0 -4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 18.0 -4.25 basis points
  • MBS  5/10 Treasury Spread  121.0 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.74 +1.23%
  • 3-Month T-Bill Yield .09% -1.0 basis point
  • Yield Curve 44.0 unch.
  • China Iron Ore Spot 80.88 USD/Metric Tonne -.98%
  • Citi US Economic Surprise Index -117.30 -12.0 points
  • Citi Eurozone Economic Surprise Index -239.80 -32.7 points
  • Citi Emerging Markets Economic Surprise Index 12.1 +7.0 points
  • 10-Year TIPS Spread 1.14 -1.0 basis point
  • 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 +659 open in Japan 
  • China A50 Futures: Indicating -65 open in China
  • DAX Futures: Indicating +25 open in Germany
Portfolio:
  • Higher: On gains in my biotech/tech/medical/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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