Monday, November 16, 2020

Stocks Higher into Final Hour on Vaccine Hopes, Oil Gain, Short-Covering, Energy/Airline Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Mixed
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 23.5 +1.7%
  • Bloomberg Global Risk On/Risk Off Index 1,100.0 +29.0 points
  • Euro/Yen Carry Return Index 128.20 unch.
  • Emerging Markets Currency Volatility(VXY) 10.63 +.66%
  • S&P 500 Implied Correlation 41.4 +7.0%
  • ISE Sentiment Index 121.0 +7.0 points
  • Total Put/Call .64 -18.0%
  • NYSE Arms .77 -7.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.66 -3.2%
  • US Energy High-Yield OAS 727.97 -.84%
  • European Financial Sector CDS Index 62.92 -5.6%
  • Italian/German 10Y Yld Spread 120.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 60.28 +1.08%
  • Emerging Market CDS Index 169.99 -2.79%
  • iBoxx Offshore RMB China Corporate High Yield Index 181.50 +.38%
  • 2-Year Swap Spread 8.75 +.25 basis point
  • TED Spread 13.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.25 +1.25 basis points
  • MBS  5/10 Treasury Spread  73.5 +.75 basis point
  • IHS Markit CMBX BBB- 6 70.25 unxh.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.0 +.28%
  • 3-Month T-Bill Yield .08% -1.0 basis point
  • Yield Curve 71.0 +1.5 basis points
  • China Iron Ore Spot 120.08 USD/Metric Tonne +.75%
  • Citi US Economic Surprise Index 66.0 -11.6 points
  • Citi Eurozone Economic Surprise Index 98.7 +5.8 points
  • Citi Emerging Markets Economic Surprise Index 59.9 +.6 point
  • 10-Year TIPS Spread 1.73 unch.
  • 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 +158 open in Japan 
  • China A50 Futures: Indicating +16 open in China
  • DAX Futures: Indicating -43 open in Germany
Portfolio:
  • Slightly Lower: On gains in my industrial/tech/consumer staple sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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