Friday, July 16, 2021

Socks Lower into Afternoon on Global Virus Shutdown Worries, Earnings Concerns, Technical Selling, Commodity/Gaming Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 17.2 +1.1%
  • Bloomberg Global Risk On/Risk Off Index 2,943.0 -64.0 points
  • Euro/Yen Carry Return Index 134.28 +.26%
  • Emerging Markets Currency Volatility(VXY) 8.46 -.94%
  • S&P 500 Implied Correlation 50.0 +1.5%
  • ISE Sentiment Index 86.0  -12.0 points
  • Total Put/Call .94 +5.6%
  • NYSE Arms 1.68 +76.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.63 +.97%
  • US Energy High-Yield OAS 407.90 +1.0%
  • European Financial Sector CDS Index 54.87 +.33%
  • Italian/German 10Y Yld Spread 106.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 84.44 -1.0%
  • Emerging Market CDS Index 160.36 -.4%
  • China Corp. High-Yield Bond USD ETF(KCCB) 38.99 -.05%
  • 2-Year Swap Spread 8.0 +.25 basis point
  • TED Spread 9.25 +1.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.0 -.25 basis point
  • MBS  5/10 Treasury Spread  71.25 +.75 basis point
  • IHS Markit CMBX BBB- 6 73.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.14 +.21%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 109.0 -2.0 basis points
  • China Iron Ore Spot 214.0 USD/Metric Tonne +.7%
  • Citi US Economic Surprise Index 19.9 -6.9 points
  • Citi Eurozone Economic Surprise Index 74.0 -1.7 points
  • Citi Emerging Markets Economic Surprise Index 63.7 +1.2 points
  • 10-Year TIPS Spread 2.34 +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 -113 open in Japan 
  • China A50 Futures: Indicating -74 open in China
  • DAX Futures: Indicating -27 open in Germany
Portfolio:
  • Slightly Lower: On losses in my commodity/tech/industrial sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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