Monday, May 18, 2020

Stocks Rising Sharply into Final Hour on Global Stimulus Hopes, Coronavirus Vaccine Optimism, Oil Surge, Energy/Airline 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) 28.7 -10.0%
  • Euro/Yen Carry Return Index 121.55 +1.2%
  • Emerging Markets Currency Volatility(VXY) 11.5 +.26%
  • S&P 500 Implied Correlation 62.2 -10.1%
  • ISE Sentiment Index 116.0 +5.0 points
  • Total Put/Call .70 -12.5%
  • NYSE Arms .84 -26.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 90.66 -4.9%
  • US Energy High-Yield OAS 1,162.66 -2.4%
  • European Financial Sector CDS Index 102.67 -6.8%
  • Italian/German 10Y Yld Spread 214.0 -25.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 115.38 -3.26%
  • Emerging Market CDS Index 321.97 -5.99%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.79 +.12%
  • 2-Year Swap Spread 9.5 -.25 basis point
  • TED Spread 28.25 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.5 unch.
  • MBS  5/10 Treasury Spread  106.0 -1.0 basis point
  • IHS Markit CMBX BBB- 6 63.0 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.55 +.76%
  • 3-Month T-Bill Yield .11% unch.
  • Yield Curve 54.0 +6.75 basis points
  • China Iron Ore Spot 94.32 USD/Metric Tonne +3.76%
  • Citi US Economic Surprise Index -97.30 -2.0 points
  • Citi Eurozone Economic Surprise Index -299.70 +.9 point
  • Citi Emerging Markets Economic Surprise Index 8.3 +2.7 points
  • 10-Year TIPS Spread 1.16 +7.0 basis points
  • 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 +481 open in Japan 
  • China A50 Futures: Indicating +123 open in China
  • DAX Futures: Indicating +39 open in Germany
Portfolio:
  • Higher: On gains in my tech/biotech/industrial/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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