Wednesday, October 28, 2020

Stocks Falling Substantially into Afternoon on Biden Presidency/Tax Hike Fears, Virus Shutdown Worries, Oil Decline, Energy/Transport Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 39.5 +18.4%
  • Bloomberg Global Risk On/Risk Off Index -604.0 -426.0 points
  • Euro/Yen Carry Return Index 126.94 -.48%
  • Emerging Markets Currency Volatility(VXY) 11.64 +2.6%
  • S&P 500 Implied Correlation 75.05 +19.1%
  • ISE Sentiment Index 98.0 +5.0 points
  • Total Put/Call 1.15 +47.4%
  • NYSE Arms .59 -58.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 63.71 +6.69%
  • US Energy High-Yield OAS 831.23 +2.12%
  • European Financial Sector CDS Index 83.75 +9.5%
  • Italian/German 10Y Yld Spread 139.0 +7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 67.61 +1.93%
  • Emerging Market CDS Index 220.31 +5.73%
  • iBoxx Offshore RMB China Corporate High Yield Index 179.67 +.02%
  • 2-Year Swap Spread 8.5 -.25 basis point
  • TED Spread 13.25 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.75 +1.25 basis points
  • MBS  5/10 Treasury Spread  81.5 -1.25 basis points
  • IHS Markit CMBX BBB- 6 68.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.87 -.72%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 62.5 -2.0 basis points
  • China Iron Ore Spot 113.75 USD/Metric Tonne +.33%
  • Citi US Economic Surprise Index 114.5 -2.3 points
  • Citi Eurozone Economic Surprise Index 3.80 -6.4 points
  • Citi Emerging Markets Economic Surprise Index 46.30 +.9 point
  • 10-Year TIPS Spread 1.70 -2.0 basis points
  • 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 -258 open in Japan 
  • China A50 Futures: Indicating -64 open in China
  • DAX Futures: Indicating -37 open in Germany
Portfolio:
  • Slightly Lower: On losses in my biotech/consumer staple/tech/medical/industrial 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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