Thursday, December 31, 2020

Stocks Reversing Modestly Higher into Final Hour on Year-End Window Dressing, Stimulus Hopes, Technical Buying, Financial/Utility Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 23.0 +.9%
  • Bloomberg Global Risk On/Risk Off Index 1,458.0 +13.0 points
  • Euro/Yen Carry Return Index 130.52 -.6%
  • Emerging Markets Currency Volatility(VXY) 10.8 +.6%
  • S&P 500 Implied Correlation 47.7 -1.1%
  • ISE Sentiment Index 113.0 -18.0 points
  • Total Put/Call .83 +2.5%
  • NYSE Arms 1.54 +.73%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.23 -2.02%
  • US Energy High-Yield OAS 558.98 -.13%
  • European Financial Sector CDS Index 59.05 +.37%
  • Italian/German 10Y Yld Spread 111.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 56.87 -.22%
  • Emerging Market CDS Index 150.83 -1.15%
  • iBoxx Offshore RMB China Corporate High Yield Index 184.38 +.05%
  • 2-Year Swap Spread 7.75 +.25 basis point
  • TED Spread 17.0 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.25 +.25 basis point
  • MBS  5/10 Treasury Spread  71.0 -1.25 basis points
  • IHS Markit CMBX BBB- 6 73.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.98 +.21%
  • 3-Month T-Bill Yield .06% -2.0 basis points
  • Yield Curve 80.75 unch.
  • China Iron Ore Spot 156.0 USD/Metric Tonne -1.46%
  • Citi US Economic Surprise Index 48.20 +.4 point
  • Citi Eurozone Economic Surprise Index 188.50 -2.0 points
  • Citi Emerging Markets Economic Surprise Index 69.90 -.5 point
  • 10-Year TIPS Spread 1.99 +3.0 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 +106 open in Japan 
  • China A50 Futures: Indicating -62 open in China
  • DAX Futures: Indicating +28 open in Germany
Portfolio:
  • Slightly Higher: On gains in my medical/consumer staple/industrial sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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