Tuesday, May 25, 2021

Stocks Reversing Lower into Final Hour on Growth Worries, Less Dovish Fed Commentary, Technical Selling, Commodity/Financial Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 18.7 +1.7%
  • Bloomberg Global Risk On/Risk Off Index 3,270.0 +1.0 point
  • Euro/Yen Carry Return Index 137.67 +.27%
  • Emerging Markets Currency Volatility(VXY) 9.2 +.22%
  • S&P 500 Implied Correlation 50.9 +2.9%
  • ISE Sentiment Index 95.0  -28.0 points
  • Total Put/Call .78 -7.1%
  • NYSE Arms 1.15 +11.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.94 +.83%
  • US Energy High-Yield OAS 440.04 +.48%
  • European Financial Sector CDS Index 59.60 -.91%
  • Italian/German 10Y Yld Spread 113.0 -4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 86.55 -1.63%
  • Emerging Market CDS Index 161.70 +.4%
  • China Corp. High-Yield Bond USD ETF(KCCB) 39.40 +.17%
  • 2-Year Swap Spread 8.5 -.25 basis point
  • TED Spread 14.5 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.75 -.25 basis point
  • MBS  5/10 Treasury Spread  62.5 +.5 basis point
  • IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.24 -.11%
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 145.0 -2.0 basis points
  • China Iron Ore Spot 184.60 USD/Metric Tonne -.5%
  • Citi US Economic Surprise Index 4.0 -7.3 points
  • Citi Eurozone Economic Surprise Index 136.50 +.3 point
  • Citi Emerging Markets Economic Surprise Index 53.4 +.2 point
  • 10-Year TIPS Spread 2.45 -1.0 basis point
  • 93.0% chance of no change at Sept. 22nd meeting, 93.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +146 open in Japan 
  • China A50 Futures: Indicating +145 open in China
  • DAX Futures: Indicating -2 open in Germany
Portfolio:
  • Slightly Lower: On losses in my biotech/commodity sector longs and emerging market shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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