Monday, December 14, 2020

Stocks Reversing Lower into Afternoon on Virus Shutdown Fears, Senate Control Worries, Valuation Concerns, Commodity/Transport Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 23.8 +2.1%
  • Bloomberg Global Risk On/Risk Off Index 1,209.0 +9.0 points
  • Euro/Yen Carry Return Index 130.89 +.36%
  • Emerging Markets Currency Volatility(VXY) 10.3 +.3%
  • S&P 500 Implied Correlation 50.7 +5.7%
  • ISE Sentiment Index 117.0 -19.0 points
  • Total Put/Call .76 -20.8%
  • NYSE Arms 2.04 +23.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.02 +.47%
  • US Energy High-Yield OAS 585.51 -.88%
  • European Financial Sector CDS Index 61.20 -4.1%
  • Italian/German 10Y Yld Spread 116.0 -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 58.53 +.05%
  • Emerging Market CDS Index 163.63 -1.03%
  • iBoxx Offshore RMB China Corporate High Yield Index 182.10 +.06%
  • 2-Year Swap Spread 8.0 +.5 basis point
  • TED Spread 15.25 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -17.25 +4.5 basis points
  • MBS  5/10 Treasury Spread  72.75 +.75 basis point
  • IHS Markit CMBX BBB- 6 72.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.37 -.10%
  • 3-Month T-Bill Yield .07% unch.
  • Yield Curve 78.5 +1.25 basis points
  • China Iron Ore Spot 153.0 USD/Metric Tonne -4.3%
  • Citi US Economic Surprise Index 75.80 -2.4 points
  • Citi Eurozone Economic Surprise Index 138.3 -2.9 points
  • Citi Emerging Markets Economic Surprise Index 67.1 +.4 point
  • 10-Year TIPS Spread 1.88 +1.0 basis point
  • 100.0% chance of no change at Jan. 27th meeting, 100.0% chance of no change at March 17th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -12 open in Japan 
  • China A50 Futures: Indicating +21 open in China
  • DAX Futures: Indicating -11 open in Germany
Portfolio:
  • Slightly Higher: On gains in my biotech/medical/tech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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