Tuesday, May 12, 2020

Stocks Reversing Lower into Final Hour on Escalating China Tensions, Global Recession Fears, Ongoing Coronavirus Worries, Transport/Financial Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 28.4 +2.9%
  • Euro/Yen Carry Return Index 120.74 +.07%
  • Emerging Markets Currency Volatility(VXY) 11.5 -1.3%
  • S&P 500 Implied Correlation 66.1 +2.16%
  • ISE Sentiment Index 90.0 -7.0 points
  • Total Put/Call .82 -3.5%
  • NYSE Arms .98 -44.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 91.16 -1.33%
  • US Energy High-Yield OAS 1,254.80 -.37%
  • European Financial Sector CDS Index 102.02 -1.33%
  • Italian/German 10Y Yld Spread 239.50 +.5 basis point
  • Asia Ex-Japan Investment Grade CDS Index 116.34 -.84%
  • Emerging Market CDS Index 322.37 -1.95%
  • iBoxx Offshore RMB China Corporate High Yield Index 164.47 +.20%
  • 2-Year Swap Spread 8.75 +.25 basis point
  • TED Spread 33.25 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -7.0 -1.75 basis points
  • MBS  5/10 Treasury Spread  114.0 +6.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.25 +.15%
  • 3-Month T-Bill Yield .11% unch.
  • Yield Curve 52.25 -1.25 basis points
  • China Iron Ore Spot 88.0 USD/Metric Tonne +2.87%
  • Citi US Economic Surprise Index -60.80 -6.5 points
  • Citi Eurozone Economic Surprise Index -303.70 +.9 point
  • Citi Emerging Markets Economic Surprise Index -2.0 -16.0 points
  • 10-Year TIPS Spread 1.09 -4.0 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 +19 open in Japan 
  • China A50 Futures: Indicating -58 open in China
  • DAX Futures: Indicating -61 open in Germany
Portfolio:
  • Higher: On gains in my tech/biotech/consumer staple sector longs and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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