Monday, August 30, 2021

Stocks Rising into Final Hour on Diminished Fed Taper Worries, Lower Long-Term Rates, Sector Rotation, Tech/Medical Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.1 -1.8%
  • Bloomberg Global Risk On/Risk Off Index 2,868.0 +49.0 points
  • Euro/Yen Carry Return Index 133.81 +.08%
  • Emerging Markets Currency Volatility(VXY) 8.6 -.93%
  • S&P 500 Implied Correlation 49.3 +.94%
  • ISE Sentiment Index 124.0  -15.0 points
  • Total Put/Call .75 -12.8%
  • NYSE Arms 1.3 +63.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 46.12 -1.5%
  • US Energy High-Yield OAS 417.90 -.6%
  • European Financial Sector CDS Index 52.32 +.01%
  • Italian/German 10Y Yld Spread 105.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 67.75 -4.3%
  • Emerging Market CDS Index 151.81 -1.1%
  • China Corp. High-Yield Bond USD ETF(KHYB) 38.49 unch.
  • 2-Year Swap Spread 9.25 +.25 basis point
  • TED Spread 7.5 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.0 -.25 basis point
  • MBS  5/10 Treasury Spread  73.75 +1.75 basis points
  • IHS Markit CMBX BBB- 6 72.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.14 +.16%
  • 3-Month T-Bill Yield .04% -1.0 basis point
  • Yield Curve 108.0 -1.0 basis point
  • China Iron Ore Spot 156.90 USD/Metric Tonne -2.1%
  • Citi US Economic Surprise Index -50.7 -1.2 points
  • Citi Eurozone Economic Surprise Index -16.9 -2.2 points
  • Citi Emerging Markets Economic Surprise Index 23.6 -4.9 points
  • 10-Year TIPS Spread 2.37 -1.0 basis point
  • 100.0% chance of no change at Nov. 3rd meeting, 98.2% chance of no change at Dec. 15th meeting
US Covid-19:
  • 333 new infections/100K people(last 7 days total) +3/100K people
  • 62% of Jan. 7th, 2021 peak(highest daily avg. new infections) unch.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -79 open in Japan 
  • China A50 Futures: Indicating -74 open in China
  • DAX Futures: Indicating -4 open in Germany
Portfolio:
  • Higher: On gains in my consumer discretionary/tech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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