Tuesday, December 22, 2020

Stocks Slightly Lower into Afternoon on Virus Mutation/Shutdown Fears, Senate Control Worries, Oil Decline, Commodity/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 24.1 -4.2%
  • Bloomberg Global Risk On/Risk Off Index 1,205.0 -34.0 points
  • Euro/Yen Carry Return Index 130.37 -.37%
  • Emerging Markets Currency Volatility(VXY) 10.5 +.38%
  • S&P 500 Implied Correlation 49.2 +1.7%
  • ISE Sentiment Index 106.0 +3.0 pionts
  • Total Put/Call .59 -25.3%
  • NYSE Arms 1.40 +28.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.67 +.82%
  • US Energy High-Yield OAS 581.08 +.32%
  • European Financial Sector CDS Index 64.21 +1.26%
  • Italian/German 10Y Yld Spread 115.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 57.63 -1.08%
  • Emerging Market CDS Index 162.01 -.67%
  • iBoxx Offshore RMB China Corporate High Yield Index 183.48 -.16%
  • 2-Year Swap Spread 8.75 +.25 basis point
  • TED Spread 16.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -34.0 -5.75 basis points
  • MBS  5/10 Treasury Spread  76.0 +2.5 basis points
  • IHS Markit CMBX BBB- 6 72.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.30 -.48%
  • 3-Month T-Bill Yield .07% -1.0 basis point
  • Yield Curve 80.75 unch.
  • China Iron Ore Spot 162.0 USD/Metric Tonne -7.2%
  • Citi US Economic Surprise Index 65.2 -1.5 points
  • Citi Eurozone Economic Surprise Index 200.40 -1.3 points
  • Citi Emerging Markets Economic Surprise Index 70.3 -.6 point
  • 10-Year TIPS Spread 1.94 -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 +109 open in Japan 
  • China A50 Futures: Indicating +61 open in China
  • DAX Futures: Indicating -13 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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