Friday, January 15, 2021

Stocks Lower into Afternoon on Virus Shutdown Worries, Dollar Strength, Oil Decline, Commodity/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 23.3 +.04%
  • Bloomberg Global Risk On/Risk Off Index 1,931.0 -22.0 points
  • Euro/Yen Carry Return Index 129.76 -.58%
  • Emerging Markets Currency Volatility(VXY) 10.4 +.3%
  • S&P 500 Implied Correlation 49.2 +.5%
  • ISE Sentiment Index 102.0 -28.0 points
  • Total Put/Call .77 +16.7%
  • NYSE Arms 1.05 +34.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.23 +2.1%
  • US Energy High-Yield OAS 494.60 -.16%
  • European Financial Sector CDS Index 62.31 +2.0%
  • Italian/German 10Y Yld Spread 116.0 -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 61.58 +.60%
  • Emerging Market CDS Index 170.41 +1.7%
  • iBoxx Offshore RMB China Corporate High Yield Index 185.34 +.31%
  • 2-Year Swap Spread 7.25 +.75 basis point
  • TED Spread 15.0 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.5 -.25 basis point
  • MBS  5/10 Treasury Spread  71.75 -.25 basis point
  • IHS Markit CMBX BBB- 6 73.0 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.86 -.63%
  • 3-Month T-Bill Yield .08% unch.
  • Yield Curve 96.0 +.25 basis point
  • China Iron Ore Spot 168.80 USD/Metric Tonne -.18%
  • Citi US Economic Surprise Index 57.30 +5.1 points
  • Citi Eurozone Economic Surprise Index 160.40 -2.5 points
  • Citi Emerging Markets Economic Surprise Index 63.9 unch.
  • 10-Year TIPS Spread 2.09 unch.
  • 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 -96 open in Japan 
  • China A50 Futures: Indicating -47 open in China
  • DAX Futures: Indicating +5 open in Germany
Portfolio:
  • Lower: On losses in my tech/energy/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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