Wednesday, May 13, 2020

Stocks Falling Substantially into Final Hour on Global Recession Fears, Escalating China Tensions, Rising Dem Senate Control Odds, 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) 35.9 +8.8%
  • Euro/Yen Carry Return Index 120.09 -.38%
  • Emerging Markets Currency Volatility(VXY) 11.74 +.17%
  • S&P 500 Implied Correlation 76.90 +12.3%
  • ISE Sentiment Index 72.0 -18.0 points
  • Total Put/Call 1.19 +38.4%
  • NYSE Arms 1.41 -6.62%
Credit Investor Angst:
  • North American Investment Grade CDS Index 95.67 +3.44%
  • US Energy High-Yield OAS 1,258.0 +.35%
  • European Financial Sector CDS Index 105.77 +3.68%
  • Italian/German 10Y Yld Spread 233.25 -6.25 basis point
  • Asia Ex-Japan Investment Grade CDS Index 118.11 +1.75%
  • Emerging Market CDS Index 345.72 +5.58%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.58 +.07%
  • 2-Year Swap Spread 10.25 +1.5 basis points
  • TED Spread 31.75 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.0 -3.0 basis points
  • MBS  5/10 Treasury Spread  112.0 -2.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.0 -.27%
  • 3-Month T-Bill Yield .10%-1.0 basis point
  • Yield Curve 49.75 -2.5 basis points
  • China Iron Ore Spot 88.10 USD/Metric Tonne -.08%
  • Citi US Economic Surprise Index -61.10 -.4 point
  • Citi Eurozone Economic Surprise Index -301.70 +2.0 points
  • Citi Emerging Markets Economic Surprise Index 3.5 +5.5 points
  • 10-Year TIPS Spread 1.07 -2.0 basis points
  • 99.3% chance of no change at July 29th meeting, 99.3% chance of no change at Sept. 16th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -87 open in Japan 
  • China A50 Futures: Indicating -201 open in China
  • DAX Futures: Indicating -79 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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