Wednesday, March 10, 2021

Stocks Higher into Final Hour on Stable Long-Term Rates, Economic Optimism, Oil Gain, Commodity/Financial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 22.4 -6.7%
  • Bloomberg Global Risk On/Risk Off Index 2,717.0 +98.0 points
  • Euro/Yen Carry Return Index 133.75 +.1%
  • Emerging Markets Currency Volatility(VXY) 10.6 -.3
  • S&P 500 Implied Correlation 51.4 -.7%
  • ISE Sentiment Index 103.0 +2.0 points
  • Total Put/Call .70 -23.9%
  • NYSE Arms .91 -31.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.20 -3.7%
  • US Energy High-Yield OAS 480.22 +.39%
  • European Financial Sector CDS Index 57.70 -1.85%
  • Italian/German 10Y Yld Spread 99.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 64.72 +.13%
  • Emerging Market CDS Index 193.03 -1.71%
  • iBoxx Offshore RMB China Corporate High Yield Index 186.74 +.05%
  • 2-Year Swap Spread 9.0 +.5 basis point
  • TED Spread 14.75 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.5 +1.25 basis points
  • MBS  5/10 Treasury Spread  72.5 +2.0 basis points
  • IHS Markit CMBX BBB- 6 75.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.24 +.78%
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 137.0 -4.0 basis points
  • China Iron Ore Spot 159.50 USD/Metric Tonne +.58%
  • Citi US Economic Surprise Index 72.50 -7.5 points
  • Citi Eurozone Economic Surprise Index 121.6 +2.7 points
  • Citi Emerging Markets Economic Surprise Index 52.8 +3.3 points
  • 10-Year TIPS Spread 2.26 +5.0 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 +114 open in Japan 
  • China A50 Futures: Indicating +76 open in China
  • DAX Futures: Indicating +11 open in Germany
Portfolio:
  • Higher: On gains in my energy/biotech/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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