Wednesday, August 04, 2021

Stocks Slightly Lower into Final Hour on Less Dovish Fed Commentary, Virus Mandate/Shutdown Worries, Earnings Jitters, Commodity/Retail Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.7 -1.9%
  • Bloomberg Global Risk On/Risk Off Index 2,591.0 -17.0 points
  • Euro/Yen Carry Return Index 133.82 +.16%
  • Emerging Markets Currency Volatility(VXY) 8.7 +.6%
  • S&P 500 Implied Correlation 50.3 +.7%
  • ISE Sentiment Index 140.0  +9.0 points
  • Total Put/Call .77 +1.3%
  • NYSE Arms 1.7 +114.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.96 +.40%
  • US Energy High-Yield OAS 440.32 +.51%
  • European Financial Sector CDS Index 53.94 -.31%
  • Italian/German 10Y Yld Spread 105.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 90.1 -.292%
  • Emerging Market CDS Index 163.25 +.83%
  • China Corp. High-Yield Bond USD ETF(KHYB) 38.20 +.29%
  • 2-Year Swap Spread 8.0 -.75 basis point
  • TED Spread 7.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.75 +1.0 basis point
  • MBS  5/10 Treasury Spread  74.25 +1.5 basis points
  • IHS Markit CMBX BBB- 6 73.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.05 -.15%
  • 3-Month T-Bill Yield .05% +1.0 basis point
  • Yield Curve 101.0 unch.
  • China Iron Ore Spot 174.25 USD/Metric Tonne -2.6%
  • Citi US Economic Surprise Index -2.8 +8.9 points
  • Citi Eurozone Economic Surprise Index 30.8 -6.3 points
  • Citi Emerging Markets Economic Surprise Index 37.7 -2.3 points
  • 10-Year TIPS Spread 2.35 unch.
  • 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
US Covid-19:
  • 192 new infections/100K people(last 7 days total) +10/100K people
  • 36% of Jan. 7th, 2021 peak(highest daily avg. new infections) +2.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +6 open in Japan 
  • China A50 Futures: Indicating -210 open in China
  • DAX Futures: Indicating -3 open in Germany
Portfolio:
  • Slightly Lower: On losses in my medical/consumer discretionary/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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