Monday, May 16, 2022

Stocks Slightly Higher into Afternoon on Lower Long-Term Rates, US Dollar Weakness, Technical Buying, Commodity/Pharma Sector Strength

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) 28.4 -1.8%
  • Bloomberg Global Risk On/Risk Off Index 4,041.0 -36.0 points
  • Euro/Yen Carry Return Index 138.5 unch.
  • Emerging Markets Currency Volatility(VXY) 12.9 +.2%
  • CBOE S&P 500 Implied Correlation Index 48.0 +.9% 
  • ISE Sentiment Index 119.0 +13.0 points
  • Total Put/Call .91 +6.2%
  • NYSE Arms 1.05 +250.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 85.4 -.2%
  • US Energy High-Yield OAS 488.33 +1.3%
  • European Financial Sector CDS Index 103.72 +1.1%
  • Italian/German 10Y Yld Spread 191.0 basis points +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 129.51 -.89%
  • Emerging Market CDS Index 297.95 +1.2%
  • China Corp. High-Yield Bond USD ETF(KHYB) 28.68 unch.
  • Russia Sovereign Debt Credit Default Swap 5,573.62 +3.7%
  • 2-Year Swap Spread 28.5 basis points -.25 basis point
  • TED Spread 50.5 basis points +4.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.25 basis points -1.25 basis points
  • MBS  5/10 Treasury Spread  122.0 -3.0 basis points
  • iShares CMBS ETF 48.5 +.22%
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 51.72 +.04%
  • 3-Month T-Bill Yield 1.0% +4.0 basis points
  • Yield Curve 30.5 basis points (2s/10s) -2.75 basis points
  • China Iron Ore Spot 129.4 USD/Metric Tonne -.37%
  • Citi US Economic Surprise Index -3.3 -16.1 points
  • Citi Eurozone Economic Surprise Index 22.5 -4.3 points
  • Citi Emerging Markets Economic Surprise Index 14.1 -19.5 points
  • 10-Year TIPS Spread 2.70 unch.
  • 0.0%(unch.) chance of no change at July 27th FOMC meeting, 0.0%(unch.) chance of no change at September 21st meeting
US Covid-19:
  • 184 new infections/100K people(last 7 days total). 11.0%(unch.) of 1/14 peak -7/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -87.0%(+.7 percentage point) from peak 7-day avg. of 1/9/21 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +13 open in Japan 
  • China A50 Futures: Indicating +37 open in China
  • DAX Futures: Indicating +56 open in Germany
Portfolio:
  • Higher: On gains in my commodity/industrial sector longs, index hedges and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure:  50% Net Long

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