Tuesday, October 06, 2020

Stocks Higher into Afternoon on Stimulus Hopes, Vaccine Optimism, Oil Gain, Transport/Financial Sector Strength

 Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 27.9 -.07%
  • Bloomberg Global Risk On/Risk Off Index 144.0 +46.0 points
  • Euro/Yen Carry Return Index 128.91 -.13%
  • Emerging Markets Currency Volatility(VXY) 11.7 -.43%
  • S&P 500 Implied Correlation 50.8 -2.8%
  • ISE Sentiment Index 93.0 -10.0 points
  • Total Put/Call .75 -2.6%
  • NYSE Arms .97 +42.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.85 -1.96%
  • US Energy High-Yield OAS 828.19 -.96%
  • European Financial Sector CDS Index 72.22 -3.09%
  • Italian/German 10Y Yld Spread 128.0 -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 71.64 -4.1%
  • Emerging Market CDS Index 211.96 -1.72%
  • iBoxx Offshore RMB China Corporate High Yield Index 178.15 +.04%
  • 2-Year Swap Spread 8.75 +.25 basis point
  • TED Spread 14.75 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -9.0 +2.75 basis points
  • MBS  5/10 Treasury Spread  87.25 -.5 basis point
  • IHS Markit CMBX BBB- 6 67.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.56 +.03%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 62.5 +5.0 basis points
  • China Iron Ore Spot 117.60 USD/Metric Tonne +.11%
  • Citi US Economic Surprise Index 157.3 -2.1 points
  • Citi Eurozone Economic Surprise Index 52.70 +1.9 points
  • Citi Emerging Markets Economic Surprise Index 47.4 +.4 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 +2 open in Japan 
  • China A50 Futures: Indicating +198 open in China
  • DAX Futures: Indicating +9 open in Germany
Portfolio:
  • Higher: On gains in my tech/consumer staple/industrial/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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