Thursday, March 18, 2021

Stocks Reversing Lower into Final Hour on Higher Long-Term Rates, Oil Plunge, Global Shutdown Worries, Energy/Tech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.7 +2.7%
  • Bloomberg Global Risk On/Risk Off Index 3,142.0 +130.0 points
  • Euro/Yen Carry Return Index 134.46 -.31%
  • Emerging Markets Currency Volatility(VXY) 10.4 +.5%
  • S&P 500 Implied Correlation 51.5 +3.1%
  • ISE Sentiment Index 122.0 +24.0 point
  • Total Put/Call .65 -11.0%
  • NYSE Arms .60 +13.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.46 +.94%
  • US Energy High-Yield OAS 484.22 +.95%
  • European Financial Sector CDS Index 56.18 -.2%
  • Italian/German 10Y Yld Spread 96.75 +1.25 basis points
  • Asia Ex-Japan Investment Grade CDS Index 59.0 -1.6%
  • Emerging Market CDS Index 184.95 +2.3%
  • iBoxx Offshore RMB China Corporate High Yield Index 188.41 +.73%
  • 2-Year Swap Spread 10.25 -1.0 basis point
  • TED Spread 18.5 +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +.5 basis point
  • MBS  5/10 Treasury Spread  79.0 +1.5 basis points
  • IHS Markit CMBX BBB- 6 74.5 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.72 +.29%
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 154.0 +7.0 basis points
  • China Iron Ore Spot 161.50 USD/Metric Tonne +1.3%
  • Citi US Economic Surprise Index 41.0 +9.7 points
  • Citi Eurozone Economic Surprise Index 90.0 -.6 point
  • Citi Emerging Markets Economic Surprise Index 34.9 +.1 point
  • 10-Year TIPS Spread 2.31 unch.
  • 100.0% chance of no change at June 16th meeting, 100.0% chance of no change at Sept. 22nd meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -236 open in Japan 
  • China A50 Futures: Indicating -204 open in China
  • DAX Futures: Indicating -14 open in Germany
Portfolio:
  • Lower: On losses in my biotech/tech/energy sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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