Monday, October 19, 2020

Stocks Reversing Lower into Afternoon on Biden Presidency/Tax Hike Fears, Diminished Stimulus Hopes, Virus Worries, Road & Rail/Biotech Sector Weakness

 Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 28.3 +3.3%
  • Bloomberg Global Risk On/Risk Off Index 87.0 -75.0 points
  • Euro/Yen Carry Return Index 128.66 +.6%
  • Emerging Markets Currency Volatility(VXY) 11.0 unch.
  • S&P 500 Implied Correlation 50.9 +10.1%
  • ISE Sentiment Index 90.0 -34.0 points
  • Total Put/Call .69 -20.7%
  • NYSE Arms .88 +15.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.64 +1.98%
  • US Energy High-Yield OAS 807.47 -.23%
  • European Financial Sector CDS Index 72.44 +.98%
  • Italian/German 10Y Yld Spread 135.0 +8.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 65.32 -2.24%
  • Emerging Market CDS Index 206.74 +.61%
  • iBoxx Offshore RMB China Corporate High Yield Index 179.26 +.09%
  • 2-Year Swap Spread 8.75 unch.
  • TED Spread 12.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -10.75 -1.5 basis points
  • MBS  5/10 Treasury Spread  81.75 -.5 basis point
  • IHS Markit CMBX BBB- 6 68.25 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.49 +.32%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 60.75 +1.5 basis points
  • China Iron Ore Spot 116.20 USD/Metric Tonne +.66%
  • Citi US Economic Surprise Index 130.6 -3.6 points
  • Citi Eurozone Economic Surprise Index 21.70 -9.8 points
  • Citi Emerging Markets Economic Surprise Index 41.40 -1.6 points
  • 10-Year TIPS Spread 1.71 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 -71 open in Japan 
  • China A50 Futures: Indicating -33 open in China
  • DAX Futures: Indicating -55 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech sector longs and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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