Monday, March 15, 2021

Stocks Reversing Higher into Afternoon on Stable Long-Term Rates, Economic Optimism, Short-Covering, Airline/Consumer Discretionary Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.2 -2.2%
  • Bloomberg Global Risk On/Risk Off Index 2,933.0 -33.0 points
  • Euro/Yen Carry Return Index 134.65 -.17%
  • Emerging Markets Currency Volatility(VXY) 10.6 +.19%
  • S&P 500 Implied Correlation 50.40 +1.0%
  • ISE Sentiment Index 113.0 +10.0 points
  • Total Put/Call .70 -4.11%
  • NYSE Arms .94 +62.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.26 -.86%
  • US Energy High-Yield OAS 470.26 +.71%
  • European Financial Sector CDS Index 56.10 +.15%
  • Italian/German 10Y Yld Spread 92.75 unch.
  • Asia Ex-Japan Investment Grade CDS Index 60.64 -1.64%
  • Emerging Market CDS Index 190.38 +.56%
  • iBoxx Offshore RMB China Corporate High Yield Index 186.84 +.03%
  • 2-Year Swap Spread 10.25 -.5 basis point
  • TED Spread 17.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.5 +1.0 basis point
  • MBS  5/10 Treasury Spread  75.0 +2.0 basis points
  • IHS Markit CMBX BBB- 6 75.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.40 -.02%
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 148.0 +8.0 basis points
  • China Iron Ore Spot 159.95 USD/Metric Tonne +1.18%
  • Citi US Economic Surprise Index 79.0 +1.5 points
  • Citi Eurozone Economic Surprise Index 92.4 -22.2 points
  • Citi Emerging Markets Economic Surprise Index 37.1 -9.0 points
  • 10-Year TIPS Spread 2.27 +1.0 basis point
  • 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 -136 open in Japan 
  • China A50 Futures: Indicating +73 open in China
  • DAX Futures: Indicating +33 open in Germany
Portfolio:
  • Higher: On gains in my biotech/industrial/tech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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