Monday, March 22, 2021

Stocks Higher into Afternoon on Lower Long-Term Rates, Dovish Fed Commentary, Sector Rotation, Tech/Biotech Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.2 -8.6%
  • Bloomberg Global Risk On/Risk Off Index 2,893.0 +37.0 points
  • Euro/Yen Carry Return Index 134.3 +.2%
  • Emerging Markets Currency Volatility(VXY) 10.4 +.9%
  • S&P 500 Implied Correlation 51.6 +11.1%
  • ISE Sentiment Index 117.0 -9.0 point
  • Total Put/Call .71 -15.5%
  • NYSE Arms 1.6 +12.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.3 +9.6% (new series)
  • US Energy High-Yield OAS 492.25 -.25%
  • European Financial Sector CDS Index 64.16 +12.4%
  • Italian/German 10Y Yld Spread 98.0 +1.5 basis points
  • Asia Ex-Japan Investment Grade CDS Index 67.5 +14.6%
  • Emerging Market CDS Index 167.27 -7.6%
  • iBoxx Offshore RMB China Corporate High Yield Index 188.51 +.03%
  • 2-Year Swap Spread 11.5 +.75 basis point
  • TED Spread 20.0 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.5 -2.75 basis points
  • MBS  5/10 Treasury Spread  81.0 +1.0 basis point
  • IHS Markit CMBX BBB- 6 74.25 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.25 +1.25%
  • 3-Month T-Bill Yield .00% unch.
  • Yield Curve 153.0 -2.0 basis points
  • China Iron Ore Spot 154.25 USD/Metric Tonne +2.0%
  • Citi US Economic Surprise Index 40.90 -.1 point
  • Citi Eurozone Economic Surprise Index 87.1 -2.3 points
  • Citi Emerging Markets Economic Surprise Index 33.0 -.9 point
  • 10-Year TIPS Spread 2.32 +1.0 basis point
  • 100.0% chance of no change at June 16th meeting, 100.0% chance of no change at Sept. 22nd meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +61 open in Japan 
  • China A50 Futures: Indicating +12 open in China
  • DAX Futures: Indicating +20 open in Germany
Portfolio:
  • Slightly Higher: On gains in my biotech/tech/energy/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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