Thursday, March 11, 2021

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

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 21.8 -3.6%
  • Bloomberg Global Risk On/Risk Off Index 2,802.0 +79.0 points
  • Euro/Yen Carry Return Index 134.55 +.55%
  • Emerging Markets Currency Volatility(VXY) 10.5 -.3%
  • S&P 500 Implied Correlation 50.4 unch.
  • ISE Sentiment Index 117.0 +11.0 points
  • Total Put/Call .71 -1.4%
  • NYSE Arms 1.15 +22.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.48 -2.6%
  • US Energy High-Yield OAS 471.97 -1.77%
  • European Financial Sector CDS Index 55.45 -3.9%
  • Italian/German 10Y Yld Spread 93.0 -7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 61.67 -4.72%
  • Emerging Market CDS Index 195.77 -4.66%
  • iBoxx Offshore RMB China Corporate High Yield Index 186.79 +.02%
  • 2-Year Swap Spread 9.75 +1.25 basis points
  • TED Spread 14.75 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.0 +1.75 basis points
  • MBS  5/10 Treasury Spread  71.25 +.75 basis point
  • IHS Markit CMBX BBB- 6 75.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.65 +.67%
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 137.0 -4.0 basis points
  • China Iron Ore Spot 164.30 USD/Metric Tonne +6.24%
  • Citi US Economic Surprise Index 71.30 -8.7 points
  • Citi Eurozone Economic Surprise Index 118.3 -.6 point
  • Citi Emerging Markets Economic Surprise Index 51.2 +1.7 points
  • 10-Year TIPS Spread 2.28 +7.0 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 -36 open in Japan 
  • China A50 Futures: Indicating +142 open in China
  • DAX Futures: Indicating -7 open in Germany
Portfolio:
  • Higher: On gains in my tech/medical/biotech/industrial/energy sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 100% Net Long

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