Thursday, October 22, 2020

Stocks Rising into Final Hour on Stimulus Hopes, Earnings Optimism, Short-Covering, Energy/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 27.9 -2.7%
  • Bloomberg Global Risk On/Risk Off Index 288.0 +103.0 points
  • Euro/Yen Carry Return Index 128.39 -.10%
  • Emerging Markets Currency Volatility(VXY) 11.1 +1.3%
  • S&P 500 Implied Correlation 49.8 -2.3%
  • ISE Sentiment Index 99.0 -5.0 points
  • Total Put/Call .79 -10.2%
  • NYSE Arms .59 -29.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.15 -.15%
  • US Energy High-Yield OAS 806.55 +.26%
  • European Financial Sector CDS Index 74.16 +2.67%
  • Italian/German 10Y Yld Spread 137.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 65.89 +.23%
  • Emerging Market CDS Index 202.44 +.01%
  • iBoxx Offshore RMB China Corporate High Yield Index 179.852 -.18%
  • 2-Year Swap Spread 8.5 -.25 basis point
  • TED Spread 12.75 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.0 +.5 basis point
  • MBS  5/10 Treasury Spread  79.25 -2.5 basis points
  • IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.72 -.23%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 66.5 -.75 basis point
  • China Iron Ore Spot 116.1 USD/Metric Tonne -1.82%
  • Citi US Economic Surprise Index 128.1 +2.2 points
  • Citi Eurozone Economic Surprise Index 5.50 -2.4 points
  • Citi Emerging Markets Economic Surprise Index 40.60 -.3 point
  • 10-Year TIPS Spread 1.76 +3.0 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 +126 open in Japan 
  • China A50 Futures: Indicating +56 open in China
  • DAX Futures: Indicating +29 open in Germany
Portfolio:
  • Higher: On gains in my tech/medical/industrial/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 50% Net Long

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