Wednesday, March 24, 2021

Stocks Modestly Higher into Afternoon on Dovish Fed Commentary, Stable Long-Term Rates, Oil Gain, Commodity/Transport Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.0 -1.1%
  • Bloomberg Global Risk On/Risk Off Index 2,612.0 -33.0 points
  • Euro/Yen Carry Return Index 133.02 unch.
  • Emerging Markets Currency Volatility(VXY) 11.4 unch.
  • S&P 500 Implied Correlation 55.0 +6.2%
  • ISE Sentiment Index 104.0 -5.0 points
  • Total Put/Call .81 -1.2%
  • NYSE Arms 1.26 -20.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.13 +.15%
  • US Energy High-Yield OAS 495.32 -.79%
  • European Financial Sector CDS Index 61.87 -2.0%
  • Italian/German 10Y Yld Spread 95.0 -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 65.5 -.5%
  • Emerging Market CDS Index 176.31 -1.5%
  • iBoxx Offshore RMB China Corporate High Yield Index 188.62 +.03%
  • 2-Year Swap Spread 11.75 +.25 basis point
  • TED Spread 17.75 -1.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +1.0 basis point
  • MBS  5/10 Treasury Spread  76.5 -.5 basis point
  • IHS Markit CMBX BBB- 6 73.75 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.56 -.2%
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 145.0 -7.0 basis points
  • China Iron Ore Spot 155.80 USD/Metric Tonne +.03%
  • Citi US Economic Surprise Index 22.10 -8.6 points
  • Citi Eurozone Economic Surprise Index 150.20 +61.6 points
  • Citi Emerging Markets Economic Surprise Index 29.80 -.4 point
  • 10-Year TIPS Spread 2.31 unch.
  • 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 +85 open in Japan 
  • China A50 Futures: Indicating +51 open in China
  • DAX Futures: Indicating -4 open in Germany
Portfolio:
  • Higher: On gains in my industrial/energy/medical sector longs
  • Disclosed Trades: None of note
  • Market Exposure: 50% Net Long

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