Tuesday, January 26, 2021

Stocks Slightly Higher into Final Hour on Stimulus Hopes, Stable Long-Term Rates, Short-Covering, Retail/Alt Energy Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Heavy
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 22.9 -1.3%
  • Bloomberg Global Risk On/Risk Off Index 1,995.0 -33.0 points
  • Euro/Yen Carry Return Index 130.45 +.08%
  • Emerging Markets Currency Volatility(VXY) 10.27 -.19%
  • S&P 500 Implied Correlation 50.5 +2.9%
  • ISE Sentiment Index 143.0 +18.0 points
  • Total Put/Call .71 unch.
  • NYSE Arms .80 +12.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.48 +1.56%
  • US Energy High-Yield OAS 515.75 +.19%
  • European Financial Sector CDS Index 60.76 -1.7%
  • Italian/German 10Y Yld Spread 118.0 -5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 61.20 +.91%
  • Emerging Market CDS Index 169.50 -2.4%
  • iBoxx Offshore RMB China Corporate High Yield Index 185.36 -.07%
  • 2-Year Swap Spread 7.75 unch.
  • TED Spread 14.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.5 +.75 basis point
  • MBS  5/10 Treasury Spread  69.0 -1.0 basis point
  • IHS Markit CMBX BBB- 6 73.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.33 +.44%
  • 3-Month T-Bill Yield .06% -1.0 basis point
  • Yield Curve 92.0 -5.0 basis points
  • China Iron Ore Spot 161.85 USD/Metric Tonne -.15%
  • Citi US Economic Surprise Index 78.20 n/a
  • Citi Eurozone Economic Surprise Index 142.0 n/a
  • Citi Emerging Markets Economic Surprise Index 60.30 n/a
  • 10-Year TIPS Spread 2.07 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 +199 open in Japan 
  • China A50 Futures: Indicating +50 open in China
  • DAX Futures: Indicating +9 open in Germany
Portfolio:
  • Slightly Lower: On losses in my energy/biotech sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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