Monday, September 13, 2021

Stocks Reversing Lower into Afternoon on Tax Hike Fears, Labor/Product Shortage Worries, Fed Taper Concerns, Biotech/Road & Rail Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Slightly Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.7 -1.3%
  • Bloomberg Global Risk On/Risk Off Index 2,012.0 -1.0 point
  • Euro/Yen Carry Return Index 134.05 -.03%
  • Emerging Markets Currency Volatility(VXY) 8.6 -.12%.
  • S&P 500 Implied Correlation 56.0 -.3%
  • ISE Sentiment Index 96.0  -3.0 points
  • Total Put/Call .82 -15.5%
  • NYSE Arms .63 -58.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 47.07 -.5%
  • US Energy High-Yield OAS 392.61 -.38%
  • European Financial Sector CDS Index 51.48 +.35%
  • Italian/German 10Y Yld Spread 102.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 65.85 +.4%
  • Emerging Market CDS Index 153.34 +1.11%
  • China Corp. High-Yield Bond USD ETF(KHYB) 38.4 -.05%
  • 2-Year Swap Spread 10.25 +.25 basis point
  • TED Spread 7.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -.25 basis point
  • MBS  5/10 Treasury Spread  73.5 +1.5 basis points
  • IHS Markit CMBX BBB- 6 72.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.18 +.04%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 112.0 +3.0 basis points
  • China Iron Ore Spot 123.15 USD/Metric Tonne -4.7%
  • Citi US Economic Surprise Index -54.9 +5.6 points
  • Citi Eurozone Economic Surprise Index -19.7 -1.9 points
  • Citi Emerging Markets Economic Surprise Index 12.1 +2.0 points
  • 10-Year TIPS Spread 2.37 -4.0 basis points
  • 98.3% chance of no change at Nov. 3rd meeting, 98.3% chance of no change at Dec. 15th meeting
US Covid-19:
  • 313 new infections/100K people(last 7 days total) -9/100K people
  • 59% of Jan. 7th, 2021 peak(highest daily avg. new infections) -2.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating -47 open in Japan 
  • China A50 Futures: Indicating -6 open in China
  • DAX Futures: Indicating -6 open in Germany
Portfolio:
  • Slightly Lower: On losses in my biotech/industrial/medical sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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