Tuesday, April 20, 2021

Stocks Lower into Afternoon on Virus Variant Worries, Earnings Jitters, Oil Decline, Energy/Financial 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) 18.9 +9.3%
  • Bloomberg Global Risk On/Risk Off Index 3,061.0 -210.0 points
  • Euro/Yen Carry Return Index 134.4 -.1%
  • Emerging Markets Currency Volatility(VXY) 9.9 -.2%
  • S&P 500 Implied Correlation 50.5 +5.2%
  • ISE Sentiment Index 88.0 +7.0 points
  • Total Put/Call .81 -10.0%
  • NYSE Arms 1.17 +54.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.64 +1.84%
  • US Energy High-Yield OAS 455.77 +1.56%
  • European Financial Sector CDS Index 59.59 +2.6%
  • Italian/German 10Y Yld Spread 104.0 +3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 80.40 +6.49%
  • Emerging Market CDS Index 167.75 +2.94%
  • China Corp. High-Yield Bond USD ETF 39.08 unch.
  • 2-Year Swap Spread 11.75 +.25 basis point
  • TED Spread 16.75 -1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.25 unch.
  • MBS  5/10 Treasury Spread  66.5 +.25 basis point
  • IHS Markit CMBX BBB- 6 72.25 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.97 -.15%
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 145.0 +4.0 basis points
  • China Iron Ore Spot 181.0 USD/Metric Tonne +2.1%
  • Citi US Economic Surprise Index 31.60 -3.9 points
  • Citi Eurozone Economic Surprise Index 134.0 -2.2 points
  • Citi Emerging Markets Economic Surprise Index 33.9 -1.4 points
  • 10-Year TIPS Spread 2.32 -4.0 basis points
  • 90.1% chance of no change at June 16th meeting, 90.1% chance of no change at Sept. 22nd meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -490 open in Japan 
  • China A50 Futures: Indicating -202 open in China
  • DAX Futures: Indicating +51 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/industrial/energy sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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