Tuesday, December 29, 2020

Stocks Lower into Final Hour on Dem Senate Control Fears, Diminished Stimulus Optimism, Valuation Worries, Retail/Alt Energy Sector Weakness

 Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 23.0 +6.0%
  • Bloomberg Global Risk On/Risk Off Index 1,416.0 -18.0 points
  • Euro/Yen Carry Return Index 131.20 unch.
  • Emerging Markets Currency Volatility(VXY) 10.6 +1.0%
  • S&P 500 Implied Correlation 49.1 +3.9%
  • ISE Sentiment Index 100.0 -22.0 points
  • Total Put/Call .77 +8.5%
  • NYSE Arms .78 -39.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.8 -1.3%
  • US Energy High-Yield OAS 561.64 -.54%
  • European Financial Sector CDS Index 58.16 -.23%
  • Italian/German 10Y Yld Spread 113.0 +3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 57.89 +.18%
  • Emerging Market CDS Index 154.20 -.66%
  • iBoxx Offshore RMB China Corporate High Yield Index 184.11 -.01%
  • 2-Year Swap Spread 8.25 unch.
  • TED Spread 16.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -13.0 +3.5 basis points
  • MBS  5/10 Treasury Spread  72.5 +.5 basis point
  • IHS Markit CMBX BBB- 6 72.66 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.85 +.28%
  • 3-Month T-Bill Yield .09% unch.
  • Yield Curve 82.0 unch.
  • China Iron Ore Spot 155.56 USD/Metric Tonne -5.71%
  • Citi US Economic Surprise Index 47.80 +4.0 points
  • Citi Eurozone Economic Surprise Index 191.0 -1.2 points
  • Citi Emerging Markets Economic Surprise Index 68.8 +.2 point
  • 10-Year TIPS Spread 1.96 -1.0 basis point
  • 100.0% chance of no change at March 17th meeting, 100.0% chance of no change at April 28th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -60 open in Japan 
  • China A50 Futures: Indicating +45 open in China
  • DAX Futures: Indicating -71 open in Germany
Portfolio:
  • Lower: On losses in my tech/biotech/industril sector longs and emerging markert shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: