Tuesday, December 08, 2020

Stocks Reversing Modestly Higher into Afternoon on Vaccine Hopes, Short-Covering, Technical Buying, Energy/Biotech Sector Strength

 Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.9 -1.7%
  • Bloomberg Global Risk On/Risk Off Index 1,460.0 -2.0 points
  • Euro/Yen Carry Return Index 130.60 +.12%
  • Emerging Markets Currency Volatility(VXY) 10.3 -.6%
  • S&P 500 Implied Correlation 46.1 -1.3%
  • ISE Sentiment Index 133.0 +19.0 points
  • Total Put/Call .60 -7.7%
  • NYSE Arms 1.07 -18.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.07 +.53%
  • US Energy High-Yield OAS 602.63 -.54%
  • European Financial Sector CDS Index 57.40 -2.19%
  • Italian/German 10Y Yld Spread 120.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 57.75 +.93%
  • Emerging Market CDS Index 161.36 -.46%
  • iBoxx Offshore RMB China Corporate High Yield Index 182.08 unch.
  • 2-Year Swap Spread 8.0 -.5 basis point
  • TED Spread 15.5 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -27.5 -4.75 basis points
  • MBS  5/10 Treasury Spread  73.75 +1.25 basis points
  • IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.26 +.18%
  • 3-Month T-Bill Yield .07% unch.
  • Yield Curve 79.0 -1.5 basis points
  • China Iron Ore Spot 143.40 USD/Metric Tonne -1.9%
  • Citi US Economic Surprise Index 67.70 -2.6 points
  • Citi Eurozone Economic Surprise Index 141.3 +2.2 points
  • Citi Emerging Markets Economic Surprise Index 61.40 -.5 point
  • 10-Year TIPS Spread 1.90 +1.0 basis point
  • 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 +73 open in Japan 
  • China A50 Futures: Indicating -4 open in China
  • DAX Futures: Indicating +19 open in Germany
Portfolio:
  • Higher: On gains in my industrial/biotech/consumer staple/tech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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