Tuesday, September 15, 2020

Stocks Higher into Final Hour on Central Bank Hopes, Vaccine Optimism, Oil Gain, Biotech/REIT Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 25.4 -1.9%
  • Bloomberg Global Risk On/Risk Off Index 386.0 +79.0 points
  • Euro/Yen Carry Return Index 129.52 -.34%
  • Emerging Markets Currency Volatility(VXY) 11.2 +.7%
  • S&P 500 Implied Correlation 51.6 -2.3%
  • ISE Sentiment Index 124.0 +8.0 points
  • Total Put/Call .68 -17.1%
  • NYSE Arms 1.14 +65.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 67.80 -1.45%
  • US Energy High-Yield OAS 821.28 +.65%
  • European Financial Sector CDS Index 62.37 -3.19%
  • Italian/German 10Y Yld Spread 151.25 unch.
  • Asia Ex-Japan Investment Grade CDS Index  57.53 -1.11%
  • Emerging Market CDS Index 164.40 -2.81%
  • iBoxx Offshore RMB China Corporate High Yield Index 177.99 +.04%
  • 2-Year Swap Spread 8.25 unch.
  • TED Spread 15.25 +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.75 +2.0 basis points
  • MBS  5/10 Treasury Spread  93.25 +2.0 basis points
  • IHS Markit CMBX BBB- 6 66.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.76 +.14%
  • 3-Month T-Bill Yield .11% unch.
  • Yield Curve 53.25 -.5 basis point
  • China Iron Ore Spot 122.88 USD/Metric Tonne -2.82%
  • Citi US Economic Surprise Index 178.0 -3.5 points
  • Citi Eurozone Economic Surprise Index 83.2 +.2 point
  • Citi Emerging Markets Economic Surprise Index 49.6 +2.9 points
  • 10-Year TIPS Spread 1.68 +3.0 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 -90 open in Japan 
  • China A50 Futures: Indicating -16 open in China
  • DAX Futures: Indicating -21 open in Germany
Portfolio:
  • Slightly Higher: On gains in my biotech/medical/tech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

 

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