Friday, July 24, 2020

Stocks Lower into Afternoon on Earnings Worries, Rising China Tensions, Global Recession Fears, Tech/Biotech Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 26.8 +2.9%
  • Euro/Yen Carry Return Index 127.61 -.68%
  • Emerging Markets Currency Volatility(VXY) 9.83 +.92%
  • S&P 500 Implied Correlation 60.40 +6.6%
  • ISE Sentiment Index 128 .0 +15.0 points
  • Total Put/Call .87 +13.0%
  • NYSE Arms .71 -41.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.31 +.95%
  • US Energy High-Yield OAS 861.67 -.20%
  • European Financial Sector CDS Index 66.47 +.30%
  • Italian/German 10Y Yld Spread 144.5 -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index  74.68 +.54%
  • Emerging Market CDS Index 185.19 +2.1%
  • iBoxx Offshore RMB China Corporate High Yield Index 175.64 -.1%
  • 2-Year Swap Spread 6.25 unch.
  • TED Spread 14.0 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -8.0 -.5 basis point
  • MBS  5/10 Treasury Spread  99.0 +1.0 basis point
  • IHS Markit CMBX BBB- 6 66.25 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.29 +.06%
  • 3-Month T-Bill Yield .10% -1.0 basis point
  • Yield Curve 46.25 unch.
  • China Iron Ore Spot 106.45 USD/Metric Tonne +.17%
  • Citi US Economic Surprise Index 236.2 +.1 point
  • Citi Eurozone Economic Surprise Index 117.0 +51.0 points
  • Citi Emerging Markets Economic Surprise Index -20.5 -3.8 points
  • 10-Year TIPS Spread 1.51 +6.0 basis points
  • 100.0% chance of no change at Sept. 16 meeting, 100.0% chance of no change at Nov. 5th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -396 open in Japan 
  • China A50 Futures: Indicating +39 open in China
  • DAX Futures: Indicating -31 open in Germany
Portfolio:
  • Slightly Higher: On gains in my index hedges and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: