Wednesday, March 31, 2021

Stocks Rising into Afternoon on Economic Optimism, Stable Long-Term Rates, Less European/Emerging Market/US High-Yld Debt Angst, Tech/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.1 -2.5%
  • Bloomberg Global Risk On/Risk Off Index 2,913.0 -77.0 points
  • Euro/Yen Carry Return Index 134.42 +.51%
  • Emerging Markets Currency Volatility(VXY) 11.1 -2.1%
  • S&P 500 Implied Correlation 49.8 +3.2%
  • ISE Sentiment Index 105.0 -12.0 points
  • Total Put/Call .76 -1.3%
  • NYSE Arms 1.43 -85.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.36 -3.75%
  • US Energy High-Yield OAS 478.70 -.53%
  • European Financial Sector CDS Index 59.82 -2.8%
  • Italian/German 10Y Yld Spread 96.0 +3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 63.99 +.37%
  • Emerging Market CDS Index 185.63 -2.91%
  • iBoxx Offshore RMB China Corporate High Yield Index 188.82 +.04%
  • 2-Year Swap Spread 13.5 +3.75 basis points
  • TED Spread 18.75 +4.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +1.5 basis points
  • MBS  5/10 Treasury Spread  72.25 +1.0 basis point
  • IHS Markit CMBX BBB- 6 73.25 -1.75 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.11 +.70%
  • 3-Month T-Bill Yield .02% -1.0 basis point
  • Yield Curve 159.0 -1.0 basis point
  • China Iron Ore Spot 157.50 USD/Metric Tonne -3.1%
  • Citi US Economic Surprise Index 28.10 -.2 point
  • Citi Eurozone Economic Surprise Index 173.0 -9.8 points
  • Citi Emerging Markets Economic Surprise Index 29.0 +2.0 points
  • 10-Year TIPS Spread 2.37 +2.0 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 +262 open in Japan 
  • China A50 Futures: Indicating +31 open in China
  • DAX Futures: Indicating +45 open in Germany
Portfolio:
  • Higher: On gains in my tech/medical/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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