Tuesday, September 29, 2020

Stocks Slightly Lower into Final Hour on Global 2nd Wave Virus Worries, US Election Uncertainties, Oil Decline, Energy/Transport Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 26.4 +.8%
  • Bloomberg Global Risk On/Risk Off Index 97.0 -59.0 points
  • Euro/Yen Carry Return Index 128.57 +.82%
  • Emerging Markets Currency Volatility(VXY) 12.1 -.08%
  • S&P 500 Implied Correlation 56.9 0 -.45%
  • ISE Sentiment Index 115.0 +6.0 points
  • Total Put/Call .80 +3.9%
  • NYSE Arms 1.34 +19.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 59.41 +3.45%
  • US Energy High-Yield OAS 878.50 +.1%
  • European Financial Sector CDS Index 80.17 +1.64%
  • Italian/German 10Y Yld Spread 140.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 77.22 -1.52%
  • Emerging Market CDS Index 237.41 +.78%
  • iBoxx Offshore RMB China Corporate High Yield Index 178.05 -.01%
  • 2-Year Swap Spread 9.5 +.25 basis point
  • TED Spread 13.25 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.0 -10.75 basis points
  • MBS  5/10 Treasury Spread  93.25 -1.25 basis points
  • IHS Markit CMBX BBB- 6 66.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.96 +.24%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 53.0 -1.0 basis point
  • China Iron Ore Spot 117.85 USD/Metric Tonne +.91%
  • Citi US Economic Surprise Index 168.2 -2.2 points
  • Citi Eurozone Economic Surprise Index 48.60 +.8 point
  • Citi Emerging Markets Economic Surprise Index 47.4 -3.1 points
  • 10-Year TIPS Spread 1.64 +2.0 basis points
  • 100.0% chance of no change at Dec. 16th meeting, 100.0% chance of no change at Jan. 27th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -20 open in Japan 
  • China A50 Futures: Indicating +86 open in China
  • DAX Futures: Indicating -16 open in Germany
Portfolio:
  • Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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