Friday, February 19, 2021

Stocks Reversing Slightly Lower into Afternoon on Rising Long-Term Rates, Valuation Concerns, Oil Decline, Utility/Medical Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 21.8 -3.0%
  • Bloomberg Global Risk On/Risk Off Index 2,890.0 +90.0 points
  • Euro/Yen Carry Return Index 132.21 +.01%
  • Emerging Markets Currency Volatility(VXY) 9.58 -.62%
  • S&P 500 Implied Correlation 53.03 +3.74%
  • ISE Sentiment Index 116.0 +6.0 points
  • Total Put/Call .76 -7.32%
  • NYSE Arms .87 -33.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.09 +.36%
  • US Energy High-Yield OAS 486.31 -.63%
  • European Financial Sector CDS Index 58.60 -.33%
  • Italian/German 10Y Yld Spread 93.5 -5.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 57.04 -.16%
  • Emerging Market CDS Index 167.65 +1.39%
  • iBoxx Offshore RMB China Corporate High Yield Index 185.79 +.04%
  • 2-Year Swap Spread 9.5 unch.
  • TED Spread 15.5 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.75 unch.
  • MBS  5/10 Treasury Spread  78.0 +3.25 basis points
  • IHS Markit CMBX BBB- 6 75.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.86 -.06%
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 124.0 +7.0 basis points
  • China Iron Ore Spot 168.1 USD/Metric Tonne +1.1%
  • Citi US Economic Surprise Index 79.0 -.8 point
  • Citi Eurozone Economic Surprise Index 155.8 +22.9 points
  • Citi Emerging Markets Economic Surprise Index 65.8 +1.6 points
  • 10-Year TIPS Spread 2.14 -4.0 basis points
  • 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 +232 open in Japan 
  • China A50 Futures: Indicating +30 open in China
  • DAX Futures: Indicating -27 open in Germany
Portfolio:
  • Higher: On gains in my biotech/energy/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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