Wednesday, August 19, 2020

Stocks Reversing Lower into Final Hour on FOMC Commentary, Coronavirus 2nd Wave Concerns, Profit-Taking, Restaurant/REIT Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.5 -.09%
  • Euro/Yen Carry Return Index 130.15 -.16%
  • Emerging Markets Currency Volatility(VXY) 11.22 +.27%
  • S&P 500 Implied Correlation 43.2 -.78%
  • ISE Sentiment Index 105.0 +34.0 points
  • Total Put/Call .64 -9.9%
  • NYSE Arms 1.07 -18.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.79 +.80%
  • US Energy High-Yield OAS 776.44 +.39%
  • European Financial Sector CDS Index 64.86 -.27%
  • Italian/German 10Y Yld Spread 139.0 +.5 basis point
  • Asia Ex-Japan Investment Grade CDS Index  64.24 -.80%
  • Emerging Market CDS Index 182.08 -2.41%
  • iBoxx Offshore RMB China Corporate High Yield Index 177.20 +.05%
  • 2-Year Swap Spread 7.5 +.25 basis point
  • TED Spread 17.5 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.0 +1.0 basis point
  • MBS  5/10 Treasury Spread  87.5 -3.25 basis points
  • IHS Markit CMBX BBB- 6 68.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.43 +.09%
  • 3-Month T-Bill Yield .9% -1.0 basis point
  • Yield Curve 52.25 +1.75 basis points
  • China Iron Ore Spot 124.90 USD/Metric Tonne +.48%
  • Citi US Economic Surprise Index 249.6 -3.5 points
  • Citi Eurozone Economic Surprise Index 182.20 -.8 point
  • Citi Emerging Markets Economic Surprise Index 23.4 +3.2 points
  • 10-Year TIPS Spread 1.67 -1.0 basis point
  • 100.0% chance of no change at Nov. 5th meeting, 100.0% chance of no change at Dec. 16th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +20 open in Japan 
  • China A50 Futures: Indicating -75 open in China
  • DAX Futures: Indicating -38 open in Germany
Portfolio:
  • Slightly Lower: On losses in my biotech/tech/consumer staple sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 25% Net Long

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