Monday, March 09, 2020

Stocks Falling Substantially into Final Hour on Coronavirus Fears, Trump Re-Election Worries, 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) 53.8 +28.2%
  • Euro/Yen Carry Return Index 121.38 -1.64%
  • Emerging Markets Currency Volatility(VXY) 11.24 +30.7%
  • S&P 500 Implied Correlation 68.0 +21.0%
  • ISE Sentiment Index 60.0 -20
  • Total Put/Call 2.05 +72.3%
  • NYSE Arms 1.50 +26.05%
Credit Investor Angst:
  • North American Investment Grade CDS Index 114.25 +41.5%
  • America Energy Sector High-Yield CDS Index 1,073.0 +27.8%
  • European Financial Sector CDS Index 122.51 +34.6%
  • Italian/German 10Y Yld Spread 225.0 +49.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 109.56 +50.0%
  • Emerging Market CDS Index 343.86 +29.6%
  • iBoxx Offshore RMB China Corporate High Yield Index 171.93 +.14%
  • 2-Year Swap Spread 14.0 +2.25 basis points
  • TED Spread 44.50 -14.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -28.0 -14.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.15 -1.78%
  • 3-Month T-Bill Yield .36% -10.0 basis points
  • Yield Curve .20 -13.0 basis points
  • China Iron Ore Spot 84.0 USD/Metric Tonne -1.20%
  • Citi US Economic Surprise Index 69.60 +.7 point
  • Citi Eurozone Economic Surprise Index 7.6 -.6 point
  • Citi Emerging Markets Economic Surprise Index -18.4 -2.5 points
  • 10-Year TIPS Spread 1.0 -30.0 basis points
  • 50.5% chance of 100.0 basis point Fed rate cut at April 29th meeting, 53.4% chance of 75.0 basis point cut at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -833 open in Japan 
  • China A50 Futures: Indicating -175 open in China
  • DAX Futures: Indicating -135 open in Germany
Portfolio:
  • Slightly Higher: On gains in my index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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