Thursday, October 15, 2020

Stocks Lower into Final Hour on Virus Worries, Biden Presidency/Tax Hike Fears, Earnings Jitters, Tech/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing in Line
Equity Investor Angst:
  • Volatility(VIX) 26.3 +3.3%
  • Bloomberg Global Risk On/Risk Off Index 171.0 -160.0 points
  • Euro/Yen Carry Return Index 127.80 -.13%
  • Emerging Markets Currency Volatility(VXY) 11.18 +.36%
  • S&P 500 Implied Correlation 45.5 +4.0%
  • ISE Sentiment Index 112.0 -9.0 points
  • Total Put/Call .75 +7.14%
  • NYSE Arms .84 unch.
Credit Investor Angst:
  • North American Investment Grade CDS Index 56.69 +1.55%
  • US Energy High-Yield OAS 812.91 +.55%
  • European Financial Sector CDS Index 74.38 +5.0%
  • Italian/German 10Y Yld Spread 131.0 +7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 67.09 +3.13%
  • Emerging Market CDS Index 208.78 -.19%
  • iBoxx Offshore RMB China Corporate High Yield Index 179.20 +.13%
  • 2-Year Swap Spread 9.25 unch.
  • TED Spread 14.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -12.25 -1.25 basis points
  • MBS  5/10 Treasury Spread  85.0 -1.0 basis point
  • IHS Markit CMBX BBB- 6 68.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.21 -.30%
  • 3-Month T-Bill Yield .10% unch.
  • Yield Curve 57.25 -2.0 basis points
  • China Iron Ore Spot 114.50 USD/Metric Tonne -.23%
  • Citi US Economic Surprise Index 138.8 +1.2 points
  • Citi Eurozone Economic Surprise Index 33.80 -2.0 points
  • Citi Emerging Markets Economic Surprise Index 44.7 +.5 point
  • 10-Year TIPS Spread 1.70 +1.0 basis point
  • 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 +3 open in Japan 
  • China A50 Futures: Indicating -89 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio:
  • Slightly Higher: On gains in my industrial sector longs and emerging market shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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