Friday, March 06, 2020

Stocks Falling Substantially into Final Hour on Coronavirus Fears, European/Emerging Markets/US High-Yield Debt Angst, Oil Plunge, Energy/Financial Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially lower
  • Sector Performance: Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 47.37 +19.5%
  • Euro/Yen Carry Return Index 123.63 -.11%
  • Emerging Markets Currency Volatility(VXY) 8.6 +5.9%
  • S&P 500 Implied Correlation 66.3 +20.5%
  • ISE Sentiment Index 80.0 -3
  • Total Put/Call 1.06 +19.1%
  • NYSE Arms 1.57 -11.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 84.0 +14.4%
  • America Energy Sector High-Yield CDS Index 832.0 +6.9%
  • European Financial Sector CDS Index 91.01 +14.85%
  • Italian/German 10Y Yld Spread 178.25 +13.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 75.31 +9.55%
  • Emerging Market CDS Index 265.48 +8.82%
  • iBoxx Offshore RMB China Corporate High Yield Index 171.70 +.23%
  • 2-Year Swap Spread 11.75 +5.5 basis points
  • TED Spread 59.0 +14.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -28.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 63.50 -.24%
  • 3-Month T-Bill Yield .46% -44.0 basis points
  • Yield Curve .33 -4.0 basis points
  • China Iron Ore Spot 85.09 USD/Metric Tonne -1.53%
  • Citi US Economic Surprise Index 68.90 +13.2 points
  • Citi Eurozone Economic Surprise Index 8.2 +4.3 points
  • Citi Emerging Markets Economic Surprise Index -20.9 -6.4 points
  • 10-Year TIPS Spread 1.30 -15.0 basis points
  • 49.3% chance of 50.0 basis point Fed rate cut at April 29th meeting, 49.7% chance of 50.0 basis point cut at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -479 open in Japan 
  • China A50 Futures: Indicating -348 open in China
  • DAX Futures: Indicating -60 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/industrial/biotech/medical/retail sector longs
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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