Monday, February 01, 2021

Stocks Substantially Higher into Final Hour on Stimulus Hopes, Vaccine Optimism, Oil Gain, Tech/Financial Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Heavy
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 29.2 -11.8%
  • Bloomberg Global Risk On/Risk Off Index 1,518.0 +375.0 points
  • Euro/Yen Carry Return Index 131.07 -.36%
  • Emerging Markets Currency Volatility(VXY) 10.44 +.77%
  • S&P 500 Implied Correlation 51.9 -4.1%
  • ISE Sentiment Index 131.0 +23.0 points
  • Total Put/Call .75 -19.4%
  • NYSE Arms .75 -37.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.55 -2.6%
  • US Energy High-Yield OAS 519.31 -.52%
  • European Financial Sector CDS Index 62.23 -1.7%
  • 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 -1.08%
  • iBoxx Offshore RMB China Corporate High Yield Index 185.51 -.03%
  • 2-Year Swap Spread 7.75 -.25 basis point
  • TED Spread 15.5 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.0 -.5 basis point
  • MBS  5/10 Treasury Spread  68.75 +.75 basis point
  • IHS Markit CMBX BBB- 6 73.75 +.75 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.22 +.21%
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 96.25 +3.25 basis points
  • China Iron Ore Spot 149.75 USD/Metric Tonne 4.12%
  • Citi US Economic Surprise Index 60.60 -4.7 points
  • Citi Eurozone Economic Surprise Index 124.0 -4.2 points
  • Citi Emerging Markets Economic Surprise Index 63.80 -1.6 points
  • 10-Year TIPS Spread 2.09 -3.0 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 +164 open in Japan 
  • China A50 Futures: Indicating -69 open in China
  • DAX Futures: Indicating +35 open in Germany
Portfolio:
  • Higher: On gains in my energy/tech/industrial/biotech/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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