Friday, February 05, 2021

Stocks Rising into Final Hour on Stimulus Hopes, Oil Gain, Short-Covering, Gaming/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 21.2 -2.7%
  • Bloomberg Global Risk On/Risk Off Index 2,339.0 +89.0 points
  • Euro/Yen Carry Return Index 131.31 +.53%
  • Emerging Markets Currency Volatility(VXY) 9.99 -.40%
  • S&P 500 Implied Correlation 52.36 unch.
  • ISE Sentiment Index 131.0 +5.0 points
  • Total Put/Call .71 -1.4%
  • NYSE Arms 1.03 -20.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.87 -1.07%
  • US Energy High-Yield OAS 485.20 -1.47%
  • European Financial Sector CDS Index 57.70 +.01%
  • Italian/German 10Y Yld Spread 98.25 -1.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 58.90 -1.38%
  • Emerging Market CDS Index 156.02 -1.73%
  • iBoxx Offshore RMB China Corporate High Yield Index 185.54 -.1%
  • 2-Year Swap Spread 9.25 +.5 basis point
  • TED Spread 16.75 +1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.5 unch.
  • MBS  5/10 Treasury Spread  64.75 -1.25 basis points
  • IHS Markit CMBX BBB- 6 75.5 +1.0 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.58 +.55%
  • 3-Month T-Bill Yield .02% -1.0 basis point
  • Yield Curve 106.0 +4.0 basis points
  • China Iron Ore Spot 150.0 USD/Metric Tonne -1.27%
  • Citi US Economic Surprise Index 71.20 -.4 point
  • Citi Eurozone Economic Surprise Index 145.7 -1.7 points
  • Citi Emerging Markets Economic Surprise Index 65.40 -.2 point
  • 10-Year TIPS Spread 2.19 +2.0 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 +21 open in Japan 
  • China A50 Futures: Indicating -48 open in China
  • DAX Futures: Indicating -15 open in Germany
Portfolio:
  • Higher: On gains in my energy/industrial/biotech/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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