Wednesday, May 06, 2020

Stocks Reversing Slightly Lower into Final Hour on Global Recession Fears, European/Emerging Markets/US High-Yield Debt Angst, Oil Decline, Commodity/Transport Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 32.8 -2.5%
  • Euro/Yen Carry Return Index 118.81 -.74%
  • Emerging Markets Currency Volatility(VXY) 12.12 +2.11%
  • S&P 500 Implied Correlation 73.90 +.3%
  • ISE Sentiment Index 106.0 +26.0 points
  • Total Put/Call .85 -3.4%
  • NYSE Arms 1.33 -16.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 91.47 +1.72%
  • US Energy High-Yield OAS 1,279.36 -1.0%
  • European Financial Sector CDS Index 106.31 +2.01%
  • Italian/German 10Y Yld Spread 248.25 +3.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 120.69 +2.01%
  • Emerging Market CDS Index 344.28 +1.4%
  • iBoxx Offshore RMB China Corporate High Yield Index 163.77 +.09%
  • 2-Year Swap Spread 11.75 -1.0 basis point
  • TED Spread 39.25 -4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.5 -6.75 basis points
  • MBS  5/10 Treasury Spread  107.0 -2.0 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 57.91 -.72%
  • 3-Month T-Bill Yield .11% +1.0 basis point
  • Yield Curve 44.0 unch.
  • China Iron Ore Spot 81.10 USD/Metric Tonne +.12%
  • Citi US Economic Surprise Index -101.60 +29.2 points
  • Citi Eurozone Economic Surprise Index -275.30 -11.1 points
  • Citi Emerging Markets Economic Surprise Index 10.60 -.6 point
  • 10-Year TIPS Spread 1.10 unch.
  • 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 -144 open in Japan 
  • China A50 Futures: Indicating -219 open in China
  • DAX Futures: Indicating -10 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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