Thursday, September 03, 2020

Stocks Falling Substantially into Afternoon on Global Recession Fears, US Election Uncertainty, Profit-Taking, Tech/Alt Energy Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 32.5 +22.7%
  • Bloomberg Global Risk On/Risk Off Index -79.0 -460.0 points
  • Euro/Yen Carry Return Index 130.23 -.16%
  • Emerging Markets Currency Volatility(VXY) 11.3 unch.
  • S&P 500 Implied Correlation 48.68 +12.3%
  • ISE Sentiment Index 88.0 -28.0 points
  • Total Put/Call 1.0 +37.0%
  • NYSE Arms .64 -21.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 65.02 +4.66%
  • US Energy High-Yield OAS 760.08 +.64%
  • European Financial Sector CDS Index 59.44 +5.16%
  • Italian/German 10Y Yld Spread 144.25 -1.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index  57.04 -.87%
  • Emerging Market CDS Index 167.08 +5.53%
  • iBoxx Offshore RMB China Corporate High Yield Index 177.62 +.06%
  • 2-Year Swap Spread 9.75 +.5 basis point
  • TED Spread 15.0 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.25 +.25 basis point
  • MBS  5/10 Treasury Spread  89.0 +1.5 basis points
  • IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.62 -.17%
  • 3-Month T-Bill Yield .10% unch.
  • Yield Curve 52.5 -2.75 basis points
  • China Iron Ore Spot 121.52 USD/Metric Tonne -1.23%
  • Citi US Economic Surprise Index 193.30 -.1 point
  • Citi Eurozone Economic Surprise Index 100.50 -6.9 points
  • Citi Emerging Markets Economic Surprise Index 13.4 +3.2 points
  • 10-Year TIPS Spread 1.66 -7.0 basis points
  • 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 -390 open in Japan 
  • China A50 Futures: Indicating -171 open in China
  • DAX Futures: Indicating -67 open in Germany
Portfolio:
  • Lower: On losses in my tech/industrial/biotech/medical/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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