Monday, December 21, 2020

Stocks Modestly Lower into Afternoon on New Virus Strain, European/Emerging Market/US High-Yld Debt Angst, Senate Control Fears, Energy/Transport Sector Weakness

 Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 24.6 +13.8%
  • Bloomberg Global Risk On/Risk Off Index 1,289.0 -164.0 points
  • Euro/Yen Carry Return Index 130.96 +.01%
  • Emerging Markets Currency Volatility(VXY) 10.64 +3.0%
  • S&P 500 Implied Correlation 47.7 -.5%
  • ISE Sentiment Index 109.0 unch.
  • Total Put/Call .75 -1.3%
  • NYSE Arms .88 -40.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.12 +3.57%
  • US Energy High-Yield OAS 573.97  unch.
  • European Financial Sector CDS Index 63.41 +8.48%
  • Italian/German 10Y Yld Spread 115.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 58.24 +2.74%
  • Emerging Market CDS Index 163.09 +4.0%
  • iBoxx Offshore RMB China Corporate High Yield Index 183.77 +.22%
  • 2-Year Swap Spread 8.5 unch.
  • TED Spread 15.5 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -28.25 -3.75 basis points
  • MBS  5/10 Treasury Spread  73.5 +.75 basis point
  • IHS Markit CMBX BBB- 6 72.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.63 -.18%
  • 3-Month T-Bill Yield .08% unch.
  • Yield Curve 80.75 +.25 basis point
  • China Iron Ore Spot 174.0 USD/Metric Tonne +5.1%
  • Citi US Economic Surprise Index 66.7 -4.6 points
  • Citi Eurozone Economic Surprise Index 201.70 -3.8 points
  • Citi Emerging Markets Economic Surprise Index 70.9 +.3 point
  • 10-Year TIPS Spread 1.95 -1.0 basis point
  • 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 -184 open in Japan 
  • China A50 Futures: Indicating -64 open in China
  • DAX Futures: Indicating +105 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech sector longs and index hedges
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
  • Market Exposure: 50% Net Long

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