Tuesday, May 19, 2020

Stocks Reversing Lower into Final Hour on Global Recession Fears, Escalating China Tensions, Diminished Coronavirus Vaccine Hopes, Energy/Financial Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 28.5 -2.7%
  • Euro/Yen Carry Return Index 122.37 +.73%
  • Emerging Markets Currency Volatility(VXY) 11.25 -1.7%
  • S&P 500 Implied Correlation 61.2 -4.4%
  • ISE Sentiment Index 175.0 +59.0 points
  • Total Put/Call .68 -5.56%
  • NYSE Arms 1.15 +59.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 87.98 -3.4%
  • US Energy High-Yield OAS 1,135.52 -.17%
  • European Financial Sector CDS Index 98.72 -3.85%
  • Italian/German 10Y Yld Spread 210.0 -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 112.33 -4.01%
  • Emerging Market CDS Index 318.68 -.81%
  • iBoxx Offshore RMB China Corporate High Yield Index 165.08 +.18%
  • 2-Year Swap Spread 8.5 -1.0 basis point
  • TED Spread 27.0 -1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.75 -1.25 basis points
  • MBS  5/10 Treasury Spread  105.0 -1.0 basis point
  • IHS Markit CMBX BBB- 6 63.5 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.85 +.47%
  • 3-Month T-Bill Yield .11% unch.
  • Yield Curve 53.0 -1.0 basis point
  • China Iron Ore Spot 94.61 USD/Metric Tonne +.31%
  • Citi US Economic Surprise Index -94.20 +3.1 points
  • Citi Eurozone Economic Surprise Index -292.20 +7.5 points
  • Citi Emerging Markets Economic Surprise Index 2.9 -5.4 points
  • 10-Year TIPS Spread 1.15 -1.0 basis point
  • 99.3% chance of no change at July 29th meeting, 99.3% chance of no change at Sept. 16th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +52 open in Japan 
  • China A50 Futures: Indicating -82 open in China
  • DAX Futures: Indicating -45 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/industrial sector longs, index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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