Friday, January 29, 2021

Stocks Falling Substantially into Afternoon on Regulation/Tax Hike Fears, Diminished Vaccine Optimism, Forced Selling, Tech/Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 34.9 +15.5%
  • Bloomberg Global Risk On/Risk Off Index 1,001.0 -358.0 points
  • Euro/Yen Carry Return Index 131.50 +.56%
  • Emerging Markets Currency Volatility(VXY) 10.3 -1.05%
  • S&P 500 Implied Correlation 54.3 +3.0%
  • ISE Sentiment Index 117.0 -20.0 points
  • Total Put/Call .88 +15.8%
  • NYSE Arms .73 -51.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.98 +1.31%
  • US Energy High-Yield OAS 520.43 +.07%
  • European Financial Sector CDS Index 63.30 +1.17%
  • Italian/German 10Y Yld Spread 116.0 -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 62.60 +.1%
  • Emerging Market CDS Index 173.40 +.58%
  • iBoxx Offshore RMB China Corporate High Yield Index 185.51 -.03%
  • 2-Year Swap Spread 8.0 +.25 basis point
  • TED Spread 15.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.5 +.5 basis point
  • MBS  5/10 Treasury Spread  68.0 +1.0 basis point
  • IHS Markit CMBX BBB- 6 73.0 -.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.11 +.14%
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 93.0 +4.0 basis points
  • China Iron Ore Spot 153.40 USD/Metric Tonne +.52%
  • Citi US Economic Surprise Index 65.30 +2.5 points
  • Citi Eurozone Economic Surprise Index 128.2 +29.6 points
  • Citi Emerging Markets Economic Surprise Index 65.40 +10.9 points
  • 10-Year TIPS Spread 2.12 +1.0 basis point
  • 100.0% chance of no change at April 28th meeting, 100.0% chance of no change at June 16th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +122 open in Japan 
  • China A50 Futures: Indicating -107 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio:
  • Slightly Lower: On losses in my energy/tech/industrial sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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