Tuesday, May 05, 2020

Stocks Surging into Final Hour on Economy Re-Opening Hopes, Oil Gain, Less European/Emerging Markets/US High-Yield Debt Angst, Tech/Medical Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 32.5 -9.7%
  • Euro/Yen Carry Return Index 119.83 -.7%
  • Emerging Markets Currency Volatility(VXY) 11.91 -.58%
  • S&P 500 Implied Correlation 72.1 -2.7%
  • ISE Sentiment Index 81.0 +4.0 points
  • Total Put/Call .90 -6.3%
  • NYSE Arms 1.50 +37.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 88.60 -2.26%
  • US Energy High-Yield OAS 1,313.05 -2.94%
  • European Financial Sector CDS Index 104.22 -3.88%
  • Italian/German 10Y Yld Spread 244.5 +11.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 119.36 -.02%
  • Emerging Market CDS Index 335.33 -3.27%
  • iBoxx Offshore RMB China Corporate High Yield Index 163.61 +.04%
  • 2-Year Swap Spread 12.75 -.25 basis point
  • TED Spread 43.25 -1.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap 1.25 -2.75 basis points
  • MBS  5/10 Treasury Spread  109.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.38 +.25%
  • 3-Month T-Bill Yield .10%+1.0 basis point
  • Yield Curve 44.0 unch.
  • China Iron Ore Spot 80.65 USD/Metric Tonne +.19%
  • Citi US Economic Surprise Index -130.80 +9.7 points
  • Citi Eurozone Economic Surprise Index -264.20 +3.2 points
  • Citi Emerging Markets Economic Surprise Index 11.20 +1.3 points
  • 10-Year TIPS Spread 1.10 +2.0 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 +96 open in Japan 
  • China A50 Futures: Indicating -453 open in China
  • DAX Futures: Indicating -17 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech/medical/industrial/consumer staple sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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