Wednesday, November 11, 2020

Stocks Higher into Final Hour on Oil Gain, Sector Rotation, Technical Buying, Tech/Biotech Sector Strength

 Broad Equity Market Tone:

  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 23.2 -6.3%
  • Bloomberg Global Risk On/Risk Off Index 1,221.50 +111.0 points
  • Euro/Yen Carry Return Index 128.63 -.14%
  • Emerging Markets Currency Volatility(VXY) 10.8 +.8%
  • S&P 500 Implied Correlation 40.6 -8.6%
  • ISE Sentiment Index 91.0 -31.0 points
  • Total Put/Call 1.04 +28.4%
  • NYSE Arms 1.48 +45.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.36 +.95%
  • US Energy High-Yield OAS 717.82 n/a
  • European Financial Sector CDS Index 63.83 unch.
  • Italian/German 10Y Yld Spread 125.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 57.58 -1.74%
  • Emerging Market CDS Index 171.56 unch.
  • iBoxx Offshore RMB China Corporate High Yield Index 180.94 +.08%
  • 2-Year Swap Spread 8.5 unch.
  • TED Spread 11.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 -.75 basis point
  • MBS  5/10 Treasury Spread  71.5 -.25 basis point
  • IHS Markit CMBX BBB- 6 70.5 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.78 +.45%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 74.75 +.25 basis point
  • China Iron Ore Spot 120.45 USD/Metric Tonne -.54%
  • Citi US Economic Surprise Index 99.20 -2.7 points
  • Citi Eurozone Economic Surprise Index 92.7 +.9 point
  • Citi Emerging Markets Economic Surprise Index 52.4 +2.2 points
  • 10-Year TIPS Spread 1.75 -1.0 basis point
  • 100.0% chance of no change at Jan. 27th meeting, 100.0% chance of no change at March 17th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +256 open in Japan 
  • China A50 Futures: Indicating -6 open in China
  • DAX Futures: Indicating -13 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech/consumer staple sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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