Thursday, September 17, 2020

Stocks Falling into Final Hour on Diminished Central Bank Stimulus Hopes, China Tensions, Technical Selling, Tech/Restaurant Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 27.4 +5.2%
  • Bloomberg Global Risk On/Risk Off Index 177.0 -150.0 points
  • Euro/Yen Carry Return Index 128.47 -.03%
  • Emerging Markets Currency Volatility(VXY) 11.18 unch.
  • S&P 500 Implied Correlation 54.1 +7.4%
  • ISE Sentiment Index 109.0 -32.0 points
  • Total Put/Call .88 +11.4%
  • NYSE Arms .73 +5.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 69.3 +2.1%
  • US Energy High-Yield OAS 811.52 +.26%
  • European Financial Sector CDS Index 62.45 +1.96%
  • Italian/German 10Y Yld Spread 151.25 n/a
  • Asia Ex-Japan Investment Grade CDS Index  57.84 +1.61%
  • Emerging Market CDS Index 168.15 +2.1%
  • iBoxx Offshore RMB China Corporate High Yield Index 178.07 +.02%
  • 2-Year Swap Spread 8.25 +.25 basis point
  • TED Spread 16.75 +3.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 unch.
  • MBS  5/10 Treasury Spread  94.0 +.5 basis point
  • IHS Markit CMBX BBB- 6 66.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.79 -.14%
  • 3-Month T-Bill Yield .09% -1.0 basis point
  • Yield Curve 540 +.5 basis point
  • China Iron Ore Spot 119.78 USD/Metric Tonne +1.73%
  • Citi US Economic Surprise Index 170.1 -7.0 points
  • Citi Eurozone Economic Surprise Index 75.2 -4.4 points
  • Citi Emerging Markets Economic Surprise Index 50.6 +2.2 points
  • 10-Year TIPS Spread 1.68 -2.0 basis points
  • 100.0% chance of no change at Dec. 16th meeting, 100.0% chance of no change at Jan. 27th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -94 open in Japan 
  • China A50 Futures: Indicating +9 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio:
  • Slightly Higher: On gains in my industrial sector longs and index hedges
  • Disclosed Trades: None
  • Market Exposure: 25% Net Long

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