Friday, October 22, 2021

Stocks Slightly Lower into Final Hour on Less Dovish Fed Commentary, Policy-Induced Labor/Product Shortages, Emerging Markets Debt Angst, Alt Energy/Tech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.6 +3.7%
  • Bloomberg Global Risk On/Risk Off Index 3,601.0 +61.0 points
  • Euro/Yen Carry Return Index 136.18 -.41%
  • Emerging Markets Currency Volatility(VXY) 9.11 +1.2%
  • S&P 500 Implied Correlation 52.8 +3.6%
  • ISE Sentiment Index 84.0  -35.0 points
  • Total Put/Call .81 +9.5%
  • NYSE Arms 1.21 -13.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.69 +.84%
  • US Energy High-Yield OAS 348.04 -.09%
  • European Financial Sector CDS Index 56.88 +.45%
  • Italian/German 10Y Yld Spread 110.0 +6.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 83.55 -.69%
  • Emerging Market CDS Index 184.82 +2.0%
  • China Corp. High-Yield Bond USD ETF(KHYB) 34.55 +.03%
  • 2-Year Swap Spread 17.25 +.5 basis point
  • TED Spread 7.25 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.5 -1.0 basis point
  • MBS  5/10 Treasury Spread  70.5 +2.75 basis points
  • IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.23 -.10%
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 123.0 -4.0 basis points
  • China Iron Ore Spot 119.95 USD/Metric Tonne +1.1%
  • Citi US Economic Surprise Index -32.6 +1.8 points
  • Citi Eurozone Economic Surprise Index -68.5 +4.3 points
  • Citi Emerging Markets Economic Surprise Index -3.7 unch.
  • 10-Year TIPS Spread 2.64 -2.0 basis points
  • 97.8% chance of no change at Dec. 15th meeting, 90.6% chance of no change at Jan. 26th meeting
US Covid-19:
  • 161 new infections/100K people(last 7 days total) -2/100K people
  • 30% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating -14 open in Japan 
  • China A50 Futures: Indicating -27 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio:
  • Higher: On gains in my medical/commodity/industrial sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 100% Net Long

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