Friday, January 14, 2022

Stocks Lower into Final Hour on US Policy-Induced Stagflation Fears, Rising Russia/Ukraine Tensions, Global Virus Lockdown/Mandate Concerns, Retail/Alt Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line:  Substantially Lower
  • Sector Performance:  Most Sectors Declining
  • Volume:  Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.4 +.2%
  • Bloomberg Global Risk On/Risk Off Index 3,432.0 +27.0 points
  • Euro/Yen Carry Return Index 134.11 -.45%
  • Emerging Markets Currency Volatility(VXY) 9.95 unch.
  • CBOE S&P 500 Implied Correlation Index 34.0 +2.2% 
  • ISE Sentiment Index 96.0  +1.0 point
  • Total Put/Call 1.09 +17.2%
  • NYSE Arms .72 -31.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.79 +1.8%
  • US Energy High-Yield OAS 375.48 -.71%
  • European Financial Sector CDS Index 60.08 +2.1%
  • Italian/German 10Y Yld Spread 132.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 85.5 +4.0%
  • Emerging Market CDS Index 213.74 +3.8%
  • China Corp. High-Yield Bond USD ETF(KHYB) 31.72 -1.01%
  • 2-Year Swap Spread 19.5 -.5 basis point
  • TED Spread 13.25 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap 2.0 unch.
  • MBS  5/10 Treasury Spread  84.0 +1.5 basis points
  • IHS Markit CMBX BBB- 6 72.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 54.27 +.04%
  • 3-Month T-Bill Yield .12% +1.0 basis point
  • Yield Curve 81.0 -2.0 basis points
  • China Iron Ore Spot 125.90 USD/Metric Tonne -2.4%
  • Citi US Economic Surprise Index -2.90 -13.0 points
  • Citi Eurozone Economic Surprise Index 35.9 -.4 point
  • Citi Emerging Markets Economic Surprise Index 6.5 +1.6 points
  • 10-Year TIPS Spread 2.48 +1.0 basis point
  • 13.9%(-10.4 percentage points) chance of no change at March 16th FOMC meeting, 8.1%(-.8 percentage point) chance of no change at May 4th meeting
US Covid-19:
  • 1,662 new infections/100K people(last 7 days total). At new peak +20/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population at new record high +20.5%(-4.0 percentage points) from prior 7-day avg. of 12/30/21 - 1/5/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +101 open in Japan 
  • China A50 Futures: Indicating -23 open in China
  • DAX Futures: Indicating -6 open in Germany
Portfolio:
  • Slightly Lower: On losses in my transport/industrial/tech/medical/consumer discretionary sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 50% Net Long

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