Monday, January 25, 2021

Stocks Slightly Higher into Final Hour on Stimulus Hopes, Short-Covering, Earnings Optimism, Retail/Biotech Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Heavy
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 24.1 +9.9%
  • Bloomberg Global Risk On/Risk Off Index 1,979.0 -148.0 points
  • Euro/Yen Carry Return Index 130.32 -.37%
  • Emerging Markets Currency Volatility(VXY) 10.4 +.6%
  • S&P 500 Implied Correlation 50.6 +.6%
  • ISE Sentiment Index 125.0 +12.0 points
  • Total Put/Call .71 +14.5%
  • NYSE Arms .64 -37.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.03 +1.89%
  • US Energy High-Yield OAS 512.93 +1.22%
  • European Financial Sector CDS Index 61.54 +1.3%
  • Italian/German 10Y Yld Spread 123.0 -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 60.65 -.63%
  • Emerging Market CDS Index 173.65 +1.68%
  • iBoxx Offshore RMB China Corporate High Yield Index 185.48 -.01%
  • 2-Year Swap Spread 7.75 unch.
  • TED Spread 14.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.75 -.5 basis point
  • MBS  5/10 Treasury Spread  70.0 +1.0 basis point
  • IHS Markit CMBX BBB- 6 73.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.06 -.21%
  • 3-Month T-Bill Yield .07% unch.
  • Yield Curve 97.0 -1.75 basis points
  • China Iron Ore Spot 165.40 USD/Metric Tonne -1.2%
  • Citi US Economic Surprise Index 78.20 unch.
  • Citi Eurozone Economic Surprise Index 142.0 unch.
  • Citi Emerging Markets Economic Surprise Index 60.30 unch.
  • 10-Year TIPS Spread 2.07 -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 -127 open in Japan 
  • China A50 Futures: Indicating -151 open in China
  • DAX Futures: Indicating +31 open in Germany
Portfolio:
  • Slightly Lower: On losses in my energy/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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