Thursday, May 06, 2021

Stocks Reversing Slightly Higher into Afternoon on Stable Long-Term Rates, More Dovish Fed Commentary, Earnings Optimism, Telecom/Metals & Mining Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 19.5 +1.6%
  • Bloomberg Global Risk On/Risk Off Index 3,134.0 +2.0 points
  • Euro/Yen Carry Return Index 135.86 +.27%
  • Emerging Markets Currency Volatility(VXY) 9.5 -1.4%
  • S&P 500 Implied Correlation 53.2 +.5%
  • ISE Sentiment Index 94.0 -5.0 points
  • Total Put/Call .87 +2.4%
  • NYSE Arms .86 +6.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.54 +1.06%
  • US Energy High-Yield OAS 433.02 -.13%
  • European Financial Sector CDS Index 59.98 +1.21%
  • Italian/German 10Y Yld Spread 115.0 +4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 79.74 +.87%
  • Emerging Market CDS Index 165.57 -1.26%
  • China Corp. High-Yield Bond USD ETF(KCCB) 39.42 +.28%
  • 2-Year Swap Spread 10.75 -.75 basis point
  • TED Spread 16.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -1.5 +1.0 basis point
  • MBS  5/10 Treasury Spread  63.25 +.25 basis point
  • IHS Markit CMBX BBB- 6 71.5 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.05 +.57%
  • 3-Month T-Bill Yield .01% unch.
  • Yield Curve 143.0 -5.0 basis points
  • China Iron Ore Spot 191.10 USD/Metric Tonne +8.9%
  • Citi US Economic Surprise Index 22.3 +.1 point
  • Citi Eurozone Economic Surprise Index 164.3 +5.2 points
  • Citi Emerging Markets Economic Surprise Index 51.7 -.2 point
  • 10-Year TIPS Spread 2.46 unch.
  • 89.0% chance of no change at Sept. 22nd meeting, 89.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -46 open in Japan 
  • China A50 Futures: Indicating -56 open in China
  • DAX Futures: Indicating +13 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/biotech/medical sector longs
  • Disclosed Trades:  None
  • Market Exposure: 75% Net Long

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