Friday, November 27, 2020

Stocks Slightly Higher into Final Hour on Vaccine Hopes, Dollar Weakness, Short-Covering, Biotech/Tech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.99 -1.22%
  • Bloomberg Global Risk On/Risk Off Index 1,323.0 +59.0 points
  • Euro/Yen Carry Return Index 128.82 +.16%
  • Emerging Markets Currency Volatility(VXY) 10.10 unch.
  • S&P 500 Implied Correlation 50.1 +1.4%
  • ISE Sentiment Index 225.0 +77.0 points
  • Total Put/Call .69 -1.43%
  • NYSE Arms 1.52 +45.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.21 -2.09%
  • US Energy High-Yield OAS 680.32 -.11%
  • European Financial Sector CDS Index 59.78 -1.7%
  • Italian/German 10Y Yld Spread 118.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 59.29 +.09%
  • Emerging Market CDS Index 165.03 -1.68%
  • iBoxx Offshore RMB China Corporate High Yield Index 180.63 -.11%
  • 2-Year Swap Spread 10.0 +.5 basis point
  • TED Spread 15.25 +2.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.5 -2.75 basis points
  • MBS  5/10 Treasury Spread  76.5 +1.25 basis points
  • IHS Markit CMBX BBB- 6 71.25 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.28 +.04%
  • 3-Month T-Bill Yield .08% unch.
  • Yield Curve 70.25 -2.0 basis points
  • China Iron Ore Spot 127.25 USD/Metric Tonne +2.9%
  • Citi US Economic Surprise Index 80.0 -1.4 points
  • Citi Eurozone Economic Surprise Index 117.7 +8.1 points
  • Citi Emerging Markets Economic Surprise Index 63.5 +7.0 points
  • 10-Year TIPS Spread 1.76 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 +96 open in Japan 
  • China A50 Futures: Indicating +24 open in China
  • DAX Futures: Indicating -11 open in Germany
Portfolio:
  • Slightly Lower: On gains in my tech/biotech/medical/consumer staple sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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