Tuesday, October 13, 2020

Stocks Lower into Final Hour on Virus Concerns, Diminishing Stimulus Hopes, Earnings Jitters, Energy/Financial Sector Weakness

 Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 26.1 +3.9%
  • Bloomberg Global Risk On/Risk Off Index 433.0 -24.0 points
  • Euro/Yen Carry Return Index 128.31 -.45%
  • Emerging Markets Currency Volatility(VXY) 11.4 -1.2%
  • S&P 500 Implied Correlation 40.16 -.05%
  • ISE Sentiment Index 125.0 -30.0 points
  • Total Put/Call .66 +1.54%
  • NYSE Arms 1.27 +21.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 534.13 +1.48%
  • US Energy High-Yield OAS 810.47 +1.28%
  • European Financial Sector CDS Index 68.67 +3.14%
  • Italian/German 10Y Yld Spread 121.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 63.63 -1.09%
  • Emerging Market CDS Index 203.35 +2.13%
  • iBoxx Offshore RMB China Corporate High Yield Index 178.83 +.02%
  • 2-Year Swap Spread 9.0 +.25 basis points
  • TED Spread 12.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -1.5 basis points
  • MBS  5/10 Treasury Spread  85.75 +.75 basis point
  • IHS Markit CMBX BBB- 6 68.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.43 -.41%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 61.25 -1.25 basis points
  • China Iron Ore Spot 116.61 USD/Metric Tonne -1.27%
  • Citi US Economic Surprise Index 137.4 -.5 point
  • Citi Eurozone Economic Surprise Index 37.90 -8.3 points
  • Citi Emerging Markets Economic Surprise Index 43.1 +1.4 points
  • 10-Year TIPS Spread 1.70 -4.0 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 -61 open in Japan 
  • China A50 Futures: Indicating +3 open in China
  • DAX Futures: Indicating -39 open in Germany
Portfolio:
  • Higher: On gains in my medical/industrial/consumer staple/tech/biotech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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