Friday, September 10, 2021

Stocks Slightly Lower into Afternoon on Labor/Product Shortage Concerns, Mandate/Lockdown Fears, Higher Long-Term Rates, Airline/Healthcare Provider Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 18.4 -2.3%
  • Bloomberg Global Risk On/Risk Off Index 3,084.0 +177.0 points
  • Euro/Yen Carry Return Index 134.16 +.13%
  • Emerging Markets Currency Volatility(VXY) 8.6 -.4%.
  • S&P 500 Implied Correlation 53.8 -.07%
  • ISE Sentiment Index 99.0  -2.9 points
  • Total Put/Call .87 +7.4%
  • NYSE Arms 1.13 +27.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 46.94 -.02%
  • US Energy High-Yield OAS 393.06 -1.4%
  • European Financial Sector CDS Index 51.3 -.16%
  • Italian/German 10Y Yld Spread 103.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 65.61 -.62%
  • Emerging Market CDS Index 151.21 -1.16%
  • China Corp. High-Yield Bond USD ETF(KHYB) 38.44 +.18%
  • 2-Year Swap Spread 10.0 +.5 basis point
  • TED Spread 7.75 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +.75 basis point
  • MBS  5/10 Treasury Spread  72.0 -2.5 basis points
  • IHS Markit CMBX BBB- 6 72.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.16 -.06%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 109.0 -3.0 basis points
  • China Iron Ore Spot 131.0 USD/Metric Tonne -.3%
  • Citi US Economic Surprise Index -60.5 +1.1 points
  • Citi Eurozone Economic Surprise Index -17.8 -7.1 points
  • Citi Emerging Markets Economic Surprise Index 10.1 -.8 point
  • 10-Year TIPS Spread 2.41 +3.0 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:
  • 324 new infections/100K people(last 7 days total) -3/100K people
  • 61% of Jan. 7th, 2021 peak(highest daily avg. new infections) unch.
Overseas Futures:
  • Nikkei 225 Futures: Indicating -131 open in Japan 
  • China A50 Futures: Indicating unch. open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio:
  • Slightly Higher: On gains in my biotech/tech/consumer discretionary sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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