Monday, April 20, 2020

Stocks Falling Substantially into Final Hour on Global Recession Fears, Oil Crash, European/Emerging Markets/US High-Yield Debt Angst, Homebuilding/Transport Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Above-Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 41.6 +9.1%
  • Euro/Yen Carry Return Index 121.28 +.05%
  • Emerging Markets Currency Volatility(VXY) 11.4 -.09%
  • S&P 500 Implied Correlation 76.1 +7.6%
  • ISE Sentiment Index 81.0 +8.0 points
  • Total Put/Call .88 -3.3%
  • NYSE Arms 1.18 +57.33%
Credit Investor Angst:
  • North American Investment Grade CDS Index 92.41 +5.8%
  • America Energy Sector High-Yield CDS Index 1,368.0 +3.02%
  • European Financial Sector CDS Index 107.82 +6.44%
  • Italian/German 10Y Yld Spread 238.75 +12.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 116.99 +.21%
  • Emerging Market CDS Index 346.20 +1.12%
  • iBoxx Offshore RMB China Corporate High Yield Index 166.14 n/a
  • 2-Year Swap Spread 22.50 +1.0 basis point
  • TED Spread 102.0 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap 45.50 +.5 basis point
  • MBS  5/10 Treasury Spread  136.0 +7.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.21 -.42%
  • 3-Month T-Bill Yield .07% -4.0 basis points
  • Yield Curve 43.0 -1.0 basis point
  • China Iron Ore Spot 83.50 USD/Metric Tonne -.49%
  • Citi US Economic Surprise Index -133.10 -4.1 points
  • Citi Eurozone Economic Surprise Index -61.70 -.3 point
  • Citi Emerging Markets Economic Surprise Index -8.30 -2.7 points
  • 10-Year TIPS Spread .94 -7.0 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 -264 open in Japan 
  • China A50 Futures: Indicating -140 open in China
  • DAX Futures: Indicating -130 open in Germany
Portfolio:
  • Higher: On gains in my biotech/medical sector longs, index hedges and emerging market shorts
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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