Wednesday, December 16, 2020

Stocks Modestly Higher into Final Hour on Stimulus Hopes, Dovish FOMC Commentary, Vaccine Optimism, Tech/Gaming Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.7 -1.0%
  • Bloomberg Global Risk On/Risk Off Index 1,347.0 +115.0 points
  • Euro/Yen Carry Return Index 130.43 +.05%
  • Emerging Markets Currency Volatility(VXY) 10.3 +.2%
  • S&P 500 Implied Correlation 47.3 -.1%
  • ISE Sentiment Index 111.0 -28.0 points
  • Total Put/Call .76 -17.4%
  • NYSE Arms 1.12 +72.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.77 -.11%
  • US Energy High-Yield OAS 580.44 -.26%
  • European Financial Sector CDS Index 57u.05 -2.66%
  • Italian/German 10Y Yld Spread 110.0 -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 57.60 -.82%
  • Emerging Market CDS Index 159.60 -1.22%
  • iBoxx Offshore RMB China Corporate High Yield Index 182.69 +.22%
  • 2-Year Swap Spread 8.5 +.25 basis point
  • TED Spread 14.25 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.50 -7.5 basis points
  • MBS  5/10 Treasury Spread  75.25 +.5 basis point
  • IHS Markit CMBX BBB- 6 72.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.54 +.10%
  • 3-Month T-Bill Yield .08% +1.0 basis point
  • Yield Curve 77.0 -1.5 basis points
  • China Iron Ore Spot 154.80 USD/Metric Tonne +.01%
  • Citi US Economic Surprise Index 71.40 -6.1 points
  • Citi Eurozone Economic Surprise Index 199.80 +62.4 points
  • Citi Emerging Markets Economic Surprise Index 69.7 +1.7 points
  • 10-Year TIPS Spread 1.93 +2.0 basis points
  • 100.0% chance of no change at March 17th meeting, 100.0% chance of no change at April 28th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -12 open in Japan 
  • China A50 Futures: Indicating +40 open in China
  • DAX Futures: Indicating +12 open in Germany
Portfolio:
  • Slightly Higher: On gains in my medical/tech/consumer staple sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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