Monday, November 30, 2020

Stocks Lower into Afternoon on Virus Shutdown Fears, US Economic Data, Technical Selling, Energy/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.2 +1.9%
  • Bloomberg Global Risk On/Risk Off Index 1,284.0 -50.0 points
  • Euro/Yen Carry Return Index 129.05 +.06%
  • Emerging Markets Currency Volatility(VXY) 10.1 +.5%
  • S&P 500 Implied Correlation 47.8 -4.2%
  • ISE Sentiment Index 121.0 -104.0 points
  • Total Put/Call .72 -2.7%
  • NYSE Arms 1.18 -28.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.26 -1.89%
  • US Energy High-Yield OAS 677.92 -.07%
  • European Financial Sector CDS Index 60.65 +1.1%
  • Italian/German 10Y Yld Spread 120.0 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 60.16 +1.48%
  • Emerging Market CDS Index 164.98 +.06%
  • iBoxx Offshore RMB China Corporate High Yield Index 181.01 +.21%
  • 2-Year Swap Spread 8.25 -1.75 basis points
  • TED Spread 15.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.0 -2.5 basis points
  • MBS  5/10 Treasury Spread  72.75 -3.75 basis points
  • IHS Markit CMBX BBB- 6 71.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.21 -.11%
  • 3-Month T-Bill Yield .08% unch.
  • Yield Curve 68.75 -1.5 basis points
  • China Iron Ore Spot 124.75 USD/Metric Tonne -3.2%
  • Citi US Economic Surprise Index 77.80 -2.2 points
  • Citi Eurozone Economic Surprise Index 123.7 +6.0 points
  • Citi Emerging Markets Economic Surprise Index 65.1 +1.6 points
  • 10-Year TIPS Spread 1.78 +2.0 basis points
  • 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 +7 open in Japan 
  • China A50 Futures: Indicating +5 open in China
  • DAX Futures: Indicating +9 open in Germany
Portfolio:
  • Higher: On gains in my tech/biotech/medical sector longs, index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

No comments: