Thursday, February 11, 2021

Stocks Modestly Lower into Final Hour on Valuation Worries, Oil Decline, Technical Selling, Energy/Telecom 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) 22.2 +.8%
  • Bloomberg Global Risk On/Risk Off Index 2,485.0 +7.0 points
  • Euro/Yen Carry Return Index 131.43 +.27%
  • Emerging Markets Currency Volatility(VXY) 9.7 -.82%
  • S&P 500 Implied Correlation 52.3 -1.5%
  • ISE Sentiment Index 132.0 -5.0 points
  • Total Put/Call .70 -6.7%
  • NYSE Arms 1.34 +46.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.41 +.06%
  • US Energy High-Yield OAS 503.56 -.47%
  • European Financial Sector CDS Index 56.36 -1.95%
  • Italian/German 10Y Yld Spread 91.5 -2.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 57.48 -.26%
  • Emerging Market CDS Index 159.25 -.93%
  • iBoxx Offshore RMB China Corporate High Yield Index 185.0 -.16%
  • 2-Year Swap Spread 9.25 +.25 basis point
  • TED Spread 16.75 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -.25 -.25 basis point
  • MBS  5/10 Treasury Spread  66.0 +.25 basis point
  • IHS Markit CMBX BBB- 6 75.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 63.02 +.23%
  • 3-Month T-Bill Yield .04% +1.0 basis point
  • Yield Curve 104.0 unch.
  • China Iron Ore Spot 161.90 USD/Metric Tonne +.37%
  • Citi US Economic Surprise Index 60.20 -1.9 points
  • Citi Eurozone Economic Surprise Index 139.3 -2.9 points
  • Citi Emerging Markets Economic Surprise Index 61.0 +1.4 points
  • 10-Year TIPS Spread 2.20 unch.
  • 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 -157 open in Japan 
  • China A50 Futures: Indicating +6 open in China
  • DAX Futures: Indicating -26 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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