Friday, September 18, 2020

Stocks Falling Substantially into Afternoon on Biden Tax Hike Proposals, China Tensions, Diminished US Stimulus Hopes, Tech/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) 27.6 +4.4%
  • Bloomberg Global Risk On/Risk Off Index 156.0 -78.0 points
  • Euro/Yen Carry Return Index 128.33 -.18%
  • Emerging Markets Currency Volatility(VXY) 11.18 unch.
  • S&P 500 Implied Correlation 56.3 +8.3%
  • ISE Sentiment Index 110.0 +1.0 points
  • Total Put/Call .91 -5.2%
  • NYSE Arms 1.44 +73.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.95 +2.0%
  • US Energy High-Yield OAS 807.66 -.28%
  • European Financial Sector CDS Index 61.59 -1.67%
  • Italian/German 10Y Yld Spread 144.5 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index  57.59 -.53%
  • Emerging Market CDS Index 174.30 +3.18%
  • iBoxx Offshore RMB China Corporate High Yield Index 178.11 +.02%
  • 2-Year Swap Spread 8.25 unch.
  • TED Spread 14.5 -2.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.0 +.75 basis point
  • MBS  5/10 Treasury Spread  95.25 +1.25 basis points
  • IHS Markit CMBX BBB- 6 67.0 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.65 -.27%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 54.5 +.5 basis point
  • China Iron Ore Spot 120.63 USD/Metric Tonne -.31%
  • Citi US Economic Surprise Index 172.5 +2.4 points
  • Citi Eurozone Economic Surprise Index 69.70 -5.5 points
  • Citi Emerging Markets Economic Surprise Index 50.3 -.3 point
  • 10-Year TIPS Spread 1.68 unch.
  • 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 -230 open in Japan 
  • China A50 Futures: Indicating -101 open in China
  • DAX Futures: Indicating -41 open in Germany
Portfolio:
  • Slightly Higher: On gains in my index hedges and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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