Monday, August 23, 2021

Stocks Higher into Final Hour on Declining Fed Taper Worries, Diminished Virus Lockdown Fears, Oil Gain, Commodity/Gaming Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 17.0 -8.6%
  • Bloomberg Global Risk On/Risk Off Index 2,637.0 +242.0 points
  • Euro/Yen Carry Return Index 132.99 +.2%
  • Emerging Markets Currency Volatility(VXY) 9.1 -.11%
  • S&P 500 Implied Correlation 49.8 -1.9%
  • ISE Sentiment Index 111.0  -35.0 points
  • Total Put/Call .79 -16.8%
  • NYSE Arms .65 +1.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.6 -2.3%
  • US Energy High-Yield OAS 454.50 -1.5%
  • European Financial Sector CDS Index 53.0 -2.2%
  • Italian/German 10Y Yld Spread 106.0 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 73.06 -.47%
  • Emerging Market CDS Index 163.38 -1.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 38.3 -.10%
  • 2-Year Swap Spread 8.75 -.75 basis point
  • TED Spread 8.5 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.25 +.25 basis point
  • MBS  5/10 Treasury Spread  76.5 -.25 basis point
  • IHS Markit CMBX BBB- 6 72.25 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.41 +.33%
  • 3-Month T-Bill Yield .04% -1.0 basis point
  • Yield Curve 104.0 +2.0 basis points
  • China Iron Ore Spot 135.05 USD/Metric Tonne -2.1%
  • Citi US Economic Surprise Index -36.8 -8.7 points
  • Citi Eurozone Economic Surprise Index -7.6 -12.9 points
  • Citi Emerging Markets Economic Surprise Index 34.9 -2.7 points
  • 10-Year TIPS Spread 2.28 unch.
  • 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
US Covid-19:
  • 314 new infections/100K people(last 7 days total) +10/100K people
  • 59% of Jan. 7th, 2021 peak(highest daily avg. new infections) +2.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +126 open in Japan 
  • China A50 Futures: Indicating +26 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio:
  • Higher: On gains in my tech/biotech/industrial/consumer discretionary sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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