Thursday, October 07, 2021

Stocks Higher into Final Hour on Diminished China Bubble-Bursting Fears, Declining US Covid Cases, US Debt Ceiling Can-Kicking, Tech/Consumer Discretionary Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.1 -9.0%
  • Bloomberg Global Risk On/Risk Off Index 3,176.0 +199.0 points
  • Euro/Yen Carry Return Index 133.16 +.19%
  • Emerging Markets Currency Volatility(VXY) 8.88 -1.0%
  • S&P 500 Implied Correlation 56.0 -2.2%
  • ISE Sentiment Index 95.0  -18.0 points
  • Total Put/Call .91 -7.1%
  • NYSE Arms .56 -46.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.93 -1.48%
  • US Energy High-Yield OAS 375.54 -1.0%
  • European Financial Sector CDS Index 57.54 -2.1%
  • Italian/German 10Y Yld Spread 104.0 -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 86.70 -4.1%
  • Emerging Market CDS Index 180.51 -2.6%
  • China Corp. High-Yield Bond USD ETF(KHYB) 35.39 -1.32%
  • 2-Year Swap Spread 10.5 +.5 basis point
  • TED Spread 8.5 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -17.75 -1.0 basis point
  • MBS  5/10 Treasury Spread  71.0 -1.75 basis points
  • IHS Markit CMBX BBB- 6 71.55 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.78 +.15%
  • 3-Month T-Bill Yield .05% +1.0 basis point
  • Yield Curve 124.0 -2.0 basis points
  • China Iron Ore Spot 118.25 USD/Metric Tonne +.5%
  • Citi US Economic Surprise Index -15.5 -.6 point
  • Citi Eurozone Economic Surprise Index -75.4 -11.5 points
  • Citi Emerging Markets Economic Surprise Index -6.1 -1.7 points
  • 10-Year TIPS Spread 2.47 +2.0 basis points
  • 100.0% chance of no change at Dec. 15th meeting, 100.0% chance of no change at Jan. 26th meeting
US Covid-19:
  • 214 new infections/100K people(last 7 days total) -4/100K people
  • 40% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +417 open in Japan 
  • China A50 Futures: Indicating -63 open in China
  • DAX Futures: Indicating -29 open in Germany
Portfolio:
  • Higher: On gains in my tech/medical/consumer discretionary/industrial/commodity sector longs
  • Disclosed Trades:  None
  • Market Exposure: 100% Net Long

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