Friday, September 04, 2020

Stocks Lower into Afernoon on Rising China Tensions, Higher Long-Term Rates, Technical Selling, 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) 34.6 +2.8%
  • Bloomberg Global Risk On/Risk Off Index -230.0 -108.0 points
  • Euro/Yen Carry Return Index 130.37 -.02%
  • Emerging Markets Currency Volatility(VXY) 11.27 +.45%
  • S&P 500 Implied Correlation 52.7 +8.1%
  • ISE Sentiment Index 107.0 +19.0 points
  • Total Put/Call 1.05 +9.4%
  • NYSE Arms .70 -10.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 657.55 +3.32%
  • US Energy High-Yield OAS 761.92 +.31%
  • European Financial Sector CDS Index 60.11 +.84%
  • Italian/German 10Y Yld Spread 146.5 +2.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index  58.24 +2.09%
  • Emerging Market CDS Index 169.67 +1.90%
  • iBoxx Offshore RMB China Corporate High Yield Index 177.75 +.07%
  • 2-Year Swap Spread 8.75 -1.0 basis point
  • TED Spread 14.5 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.5 -.25 basis point
  • MBS  5/10 Treasury Spread  84.5 -4.5 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 50.75 -1.75 basis points
  • China Iron Ore Spot 123.84 USD/Metric Tonne +.71%
  • Citi US Economic Surprise Index 191.80 -1.5 points
  • Citi Eurozone Economic Surprise Index 96.60 -3.9 points
  • Citi Emerging Markets Economic Surprise Index 15.3 +2.9 points
  • 10-Year TIPS Spread 1.68 +2.0 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 -80 open in Japan 
  • China A50 Futures: Indicating -60 open in China
  • DAX Futures: Indicating +37 open in Germany
Portfolio:
  • Higher: On gains in my industrial sector longs, index hedges and emerging markets shorts
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

 

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