Tuesday, March 24, 2020

Stocks Surging into Final Hour on Global Stimulus Hopes, Less European/Emerging Markets/US High-Yield Debt Angst, Short-Covering, Energy/Consumer Descretionary Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 60.0 -2.7%
  • Euro/Yen Carry Return Index 124.41 +.58%
  • Emerging Markets Currency Volatility(VXY) 13.5 -6.7%
  • S&P 500 Implied Correlation 66.8 +70%
  • ISE Sentiment Index 60.0 -14
  • Total Put/Call .86 -21.8%
  • NYSE Arms .82 -12.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 108.44 -15.5%
  • America Energy Sector High-Yield CDS Index 1,553.0 -.31%
  • European Financial Sector CDS Index 108.87 -16.3%
  • Italian/German 10Y Yld Spread 188.75 -6.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 187.69 -11.9%
  • Emerging Market CDS Index 360.18 -13.7%
  • iBoxx Offshore RMB China Corporate High Yield Index 170.09 +.10%
  • 2-Year Swap Spread 12.75 -6.25 basis points
  • TED Spread 125.0 +1.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -.75 +10.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.19 +1.1%
  • 3-Month T-Bill Yield -.04% -1.0 basis point
  • Yield Curve .50 -4.0 basis points
  • China Iron Ore Spot 81.39 USD/Metric Tonne +.63%
  • Citi US Economic Surprise Index 62.30 +15.2 points
  • Citi Eurozone Economic Surprise Index -54.80 -56.8 points
  • Citi Emerging Markets Economic Surprise Index -28.7 -.3 point
  • 10-Year TIPS Spread .97 +15.0 basis points
  • n/a chance of no change at April 29th meeting, n/a chance of no change at June 10th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +1,128 open in Japan 
  • China A50 Futures: Indicating +143 open in China
  • DAX Futures: Indicating -142 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech/industrial/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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