Tuesday, September 08, 2020

Stocks Falling Substantially into Final Hour on Biden Presidency Odds, Rising China Tensions, Oil Plunge, Energy/Tech Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 30.9 +.5%
  • Bloomberg Global Risk On/Risk Off Index -126.0 -159.0 points
  • Euro/Yen Carry Return Index 129.49 -.46%
  • Emerging Markets Currency Volatility(VXY) 11.3 +.5%
  • S&P 500 Implied Correlation 48.5 +3.7%
  • ISE Sentiment Index 1027.0 +20.0 points
  • Total Put/Call .80 -21.6%
  • NYSE Arms .86 +17.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 68.29 +2.29%
  • US Energy High-Yield OAS 786.67 +2.11%
  • European Financial Sector CDS Index 62.68 +5.44%
  • Italian/German 10Y Yld Spread 152.25 +6.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index  58.96 +.62%
  • Emerging Market CDS Index 172.33 +2.76%
  • iBoxx Offshore RMB China Corporate High Yield Index 177.88 +.03%
  • 2-Year Swap Spread 8.5 -.25 basis point
  • TED Spread 14.25 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -6.5 -1.0 basis point
  • MBS  5/10 Treasury Spread  90.0 +5.5 basis points
  • IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.28 -.40%
  • 3-Month T-Bill Yield .11% +1.0 basis point
  • Yield Curve 57.0 +6.25 basis points
  • China Iron Ore Spot 123.40 USD/Metric Tonne +.02%
  • Citi US Economic Surprise Index 183.90 -7.9 points
  • Citi Eurozone Economic Surprise Index 95.90 -.7 point
  • Citi Emerging Markets Economic Surprise Index 25.9 +10.6 points
  • 10-Year TIPS Spread 1.69 +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 +16 open in Japan 
  • China A50 Futures: Indicating -133 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio:
  • Slightly Lower: On losses in my industrial/tech/medical/biotech/consumer staple sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

 

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