Thursday, June 04, 2020

Stocks Reversing Lower into Final Hour on China Tensions, Rising Long-Term Rates, Technical Selling, Homebuilding/Utility Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 25.5 -.7%
  • Euro/Yen Carry Return Index 128.43 +1.3%
  • Emerging Markets Currency Volatility(VXY) 9.90 +.2%
  • S&P 500 Implied Correlation 60.6 -.6%
  • ISE Sentiment Index 89.0 -26.0 points
  • Total Put/Call .73 +7.4%
  • NYSE Arms .51 -25.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 72.69 -1.09%
  • US Energy High-Yield OAS 953.39 -1.33%
  • European Financial Sector CDS Index 73.94 -4.61%
  • Italian/German 10Y Yld Spread 174.0 -16.75 basis point
  • Asia Ex-Japan Investment Grade CDS Index 90.90 -3.53%
  • Emerging Market CDS Index 242.86 -.03%
  • iBoxx Offshore RMB China Corporate High Yield Index 168.99 -.01%
  • 2-Year Swap Spread 7.75 +.5 basis point
  • TED Spread 19.0 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -.5 basis point
  • MBS  5/10 Treasury Spread  113.0 -1.0 basis point
  • IHS Markit CMBX BBB- 6 69.0 +2.5 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.46 -.11%
  • 3-Month T-Bill Yield .14% -1.0 basis point
  • Yield Curve 55.25 +1.5 basis points
  • China Iron Ore Spot 96.70 USD/Metric Tonne -.47%
  • Citi US Economic Surprise Index 8.30 +.3 point
  • Citi Eurozone Economic Surprise Index -209.80 +16.5 points
  • Citi Emerging Markets Economic Surprise Index 42.4 -1.1 points
  • 10-Year TIPS Spread 1.2 +1.0 basis point
  • 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 -4 open in Japan 
  • China A50 Futures: Indicating -135 open in China
  • DAX Futures: Indicating -49 open in Germany
Portfolio:
  • Lower: On losses in my biotech/tech/medical/consumer staple sector longs 
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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