Thursday, December 24, 2020

Stocks Slightly Higher into Final Hour on Stimulus Hopes, Seasonal Strength, Technical Buying, Homebuilding/REIT Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Light
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.0 -5.7%
  • Bloomberg Global Risk On/Risk Off Index 1,484.0 +99.0 points
  • Euro/Yen Carry Return Index 130.58 +.07%
  • Emerging Markets Currency Volatility(VXY) 10.5 unch.
  • S&P 500 Implied Correlation 47.4 -4.2%
  • ISE Sentiment Index 108.0 +2.0 points
  • Total Put/Call .75 -6.3%
  • NYSE Arms 2.5 +236.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.75 -3.1%
  • US Energy High-Yield OAS 575.29 -.18%
  • European Financial Sector CDS Index 58.31 -5.4%
  • Italian/German 10Y Yld Spread 113.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 58.02 -.52%
  • Emerging Market CDS Index 157.27 -1.08%
  • iBoxx Offshore RMB China Corporate High Yield Index 183.81 -.01%
  • 2-Year Swap Spread 8.75 -.25 basis point
  • TED Spread 15.75 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +2.75 basis points
  • MBS  5/10 Treasury Spread  74.75 +.5 basis point
  • IHS Markit CMBX BBB- 6 72.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.55 +.29%
  • 3-Month T-Bill Yield .08% unch.
  • Yield Curve 82.5 +3.25 basis points
  • China Iron Ore Spot 160.48 USD/Metric Tonne -2.32%
  • Citi US Economic Surprise Index 50.0 -1.0 point
  • Citi Eurozone Economic Surprise Index 200.20 -1.6 points
  • Citi Emerging Markets Economic Surprise Index 70.6 -.2 point
  • 10-Year TIPS Spread 1.97 unch.
  • 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 -33 open in Japan 
  • China A50 Futures: Indicating -1 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio:
  • Higher: On gains in my tech/medical/industrial sector longs, index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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