Wednesday, May 19, 2021

Stocks Lower into Afternoon on Inflation Concerns, Valuation Worries, Oil Decline, Retail/Commodity Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 23.1 +8.3%
  • Bloomberg Global Risk On/Risk Off Index 2,944.0 -193.0 points
  • Euro/Yen Carry Return Index 137.4 -.14%
  • Emerging Markets Currency Volatility(VXY) 9.3 +.2%
  • S&P 500 Implied Correlation 53.2 -.5%
  • ISE Sentiment Index 89.0 -46.0 points
  • Total Put/Call 1.06 +27.7%
  • NYSE Arms 1.4 -16.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.92 +1.09%
  • US Energy High-Yield OAS 437.22 +1.25%
  • European Financial Sector CDS Index 61.6 +1.4%
  • Italian/German 10Y Yld Spread 123.0 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 85.95 +1.0%
  • Emerging Market CDS Index 164.50 +1.32%
  • China Corp. High-Yield Bond USD ETF(KCCB) 39.30 +.01%
  • 2-Year Swap Spread 10.0 unch.
  • TED Spread 14.75 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap .75 +1.25 basis points
  • MBS  5/10 Treasury Spread  62.0 -1.25 basis points
  • IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.46 -.16%
  • 3-Month T-Bill Yield .01% +1.0 basis point
  • Yield Curve 149.0 unch.
  • China Iron Ore Spot 197.25 USD/Metric Tonne -3.9%
  • Citi US Economic Surprise Index 3.6 -.7 point
  • Citi Eurozone Economic Surprise Index 136.20 -9.9 points
  • Citi Emerging Markets Economic Surprise Index 50.10 -1.0 point
  • 10-Year TIPS Spread 2.53 -2.0 basis points
  • 93.0% chance of no change at Sept. 22nd meeting, 93.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -94 open in Japan 
  • China A50 Futures: Indicating -55 open in China
  • DAX Futures: Indicating +54 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure: 50% Net Long

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