Thursday, March 12, 2020

Stocks Substantially Lower into Final Hour on Coronavirus Fears, European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Commodity/Transport 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) 67.1 +24.5%
  • Euro/Yen Carry Return Index 121.91 -.14%
  • Emerging Markets Currency Volatility(VXY) 13.0 +27.4%
  • S&P 500 Implied Correlation 87.7 +32.0%
  • ISE Sentiment Index 68.0 +16
  • Total Put/Call 1.55 +14.0%
  • NYSE Arms .71 -65.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 134.66 +17.0%
  • America Energy Sector High-Yield CDS Index 1,352.0 +5.87%
  • European Financial Sector CDS Index 150.65 +29.3%
  • Italian/German 10Y Yld Spread 250.0 +58.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 131.71 +30.3%
  • Emerging Market CDS Index 400.0 +15.0%
  • iBoxx Offshore RMB China Corporate High Yield Index 171.34 +.09%
  • 2-Year Swap Spread -2.5 -4.0 basis points
  • TED Spread 45.0 +6.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.25 +3.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.10 -1.22%
  • 3-Month T-Bill Yield .41% unch.
  • Yield Curve .33 +11.0 basis points
  • China Iron Ore Spot 85.36 USD/Metric Tonne -2.0%
  • Citi US Economic Surprise Index 73.50 +1.2 points
  • Citi Eurozone Economic Surprise Index 13.5 +1.7 point
  • Citi Emerging Markets Economic Surprise Index -17.3 +2.9 points
  • 10-Year TIPS Spread .93 -1.0 basis point
  • 70.7% chance of 100.0 basis point Fed rate cut at April 29th meeting, 67.4% chance of 100.0 basis point cut at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -1,129 open in Japan 
  • China A50 Futures: Indicating -560 open in China
  • DAX Futures: Indicating +15 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/biotech/medical/retail/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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