Wednesday, June 23, 2021

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

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.3 -2.5%
  • Bloomberg Global Risk On/Risk Off Index 3,374.0 +17.0 points
  • Euro/Yen Carry Return Index 136.89 +.22%
  • Emerging Markets Currency Volatility(VXY) 8.9 -.7%
  • S&P 500 Implied Correlation 45.9 -1.9%
  • ISE Sentiment Index 134.0  +39.0 points
  • Total Put/Call .7 -14.1%
  • NYSE Arms .77 -36.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.78 -.43%
  • US Energy High-Yield OAS 389.50 -1.1%
  • European Financial Sector CDS Index 54.0 -.9%
  • Italian/German 10Y Yld Spread 107.0 +1.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 84.59 -.54%
  • Emerging Market CDS Index 155.59 -.69%
  • China Corp. High-Yield Bond USD ETF(KCCB) 39.25 +.29%
  • 2-Year Swap Spread 6.5 -.5 basis point
  • TED Spread 10.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.0 +.75 basis point
  • MBS  5/10 Treasury Spread  69.25 -3.0 basis points
  • IHS Markit CMBX BBB- 6 73.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.69 +.06%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 122.0 -2.0 basis points
  • China Iron Ore Spot 208.35 USD/Metric Tonne +2.7%
  • Citi US Economic Surprise Index 30.2 -16.0 points
  • Citi Eurozone Economic Surprise Index 94.10 +5.0 points
  • Citi Emerging Markets Economic Surprise Index 76.9 +.4 point
  • 10-Year TIPS Spread 2.35 +3.0 basis points
  • 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -104 open in Japan 
  • China A50 Futures: Indicating -88 open in China
  • DAX Futures: Indicating +27 open in Germany
Portfolio:
  • Higher: On gains in my commodity/tech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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