Tuesday, March 23, 2021

Stocks Modestly Lower into Afternoon on Global Shutdown Worries, Oil Decline, Technical Selling, Retail/Commodity Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.6 +3.6%
  • Bloomberg Global Risk On/Risk Off Index 2,716.0 -192.0 points
  • Euro/Yen Carry Return Index 133.29 -.75%
  • Emerging Markets Currency Volatility(VXY) 11.5 +1.3%
  • S&P 500 Implied Correlation 52.3 +4.3%
  • ISE Sentiment Index 109.0 -8.0 point
  • Total Put/Call .76 +4.1%
  • NYSE Arms 1.44 +16.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.13 +.15%
  • US Energy High-Yield OAS 495.94 +1.25%
  • European Financial Sector CDS Index 63.14 -1.2%
  • Italian/German 10Y Yld Spread 97.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 65.75 -2.3%
  • Emerging Market CDS Index 172.23 +3.87%
  • iBoxx Offshore RMB China Corporate High Yield Index 188.51 +.03%
  • 2-Year Swap Spread 11.5 +.75 basis point
  • TED Spread 19.25 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.5 +1.0 basis point
  • MBS  5/10 Treasury Spread  77.0 -4.0 basis points
  • IHS Markit CMBX BBB- 6 74.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.79 -.7%
  • 3-Month T-Bill Yield .01% +1.0 basis point
  • Yield Curve 152.0 -1.0 basis point
  • China Iron Ore Spot 152.20 USD/Metric Tonne -1.87%
  • Citi US Economic Surprise Index 30.70 -10.2 points
  • Citi Eurozone Economic Surprise Index 88.6 +1.5 points
  • Citi Emerging Markets Economic Surprise Index 30.20 -2.8 points
  • 10-Year TIPS Spread 2.31 -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 -140 open in Japan 
  • China A50 Futures: Indicating +4 open in China
  • DAX Futures: Indicating +9 open in Germany
Portfolio:
  • Slightly Lower: On losses in my biotech/tech/industrial/energy sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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