Monday, March 08, 2021

Stocks Reversing Slightly Lower into Final Hour on Valuation Concerns, Rising Long-Term Rates, Technical Selling, Tech/Alt Energy Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 25.0 +1.2%
  • Bloomberg Global Risk On/Risk Off Index 2,612.0 -26.0 points
  • Euro/Yen Carry Return Index 133.59 +.03%
  • Emerging Markets Currency Volatility(VXY) 10.7 +3.2%
  • S&P 500 Implied Correlation 52.9 +2.2%
  • ISE Sentiment Index 89.0 -17.0 points
  • Total Put/Call .74 -22.9%
  • NYSE Arms 1.17 +37.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 55.70 +3.31%
  • US Energy High-Yield OAS 469.09 +.15%
  • European Financial Sector CDS Index 59.17 -1.36%
  • Italian/German 10Y Yld Spread 103.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 62.75 +2.54%
  • Emerging Market CDS Index 204.77 +6.11%
  • iBoxx Offshore RMB China Corporate High Yield Index 186.63 +.02%
  • 2-Year Swap Spread 8.75 -1.5 basis points
  • TED Spread 16.0 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -7.5 +1.0 basis point
  • MBS  5/10 Treasury Spread  68.0 -5.75 basis points
  • IHS Markit CMBX BBB- 6 75.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.43 -.85%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 144.0 +2.0 basis points
  • China Iron Ore Spot 168.0 USD/Metric Tonne +.38%
  • Citi US Economic Surprise Index 82.6 -3.9 points
  • Citi Eurozone Economic Surprise Index 117.5 -11.7 points
  • Citi Emerging Markets Economic Surprise Index 51.4 -5.3 points
  • 10-Year TIPS Spread 2.22 -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 +102 open in Japan 
  • China A50 Futures: Indicating -114 open in China
  • DAX Futures: Indicating -28 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/medical/biotech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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