Friday, June 18, 2021

Stocks Lower into Afternoon on Fed Taper Worries, Dollar Strength, Technical Selling, Commodity/Financial Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.0 +12.0%
  • Bloomberg Global Risk On/Risk Off Index 3,027.0 -231.0 points
  • Euro/Yen Carry Return Index 135.19 -.32%
  • Emerging Markets Currency Volatility(VXY) 9.0 +.9%
  • S&P 500 Implied Correlation 51.5 +7.5%
  • ISE Sentiment Index 115.0  -5.0 points
  • Total Put/Call .87 +4.8%
  • NYSE Arms 1.47 -2.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.6 +2.1%
  • US Energy High-Yield OAS 395.90 +.60%
  • European Financial Sector CDS Index 56.22 +1.7%
  • Italian/German 10Y Yld Spread 107.0 +6.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 84.13 -.34%
  • Emerging Market CDS Index 15847 +1.40%
  • China Corp. High-Yield Bond USD ETF(KCCB) 39.25 +.17%
  • 2-Year Swap Spread 6.5 -.75 basis point
  • TED Spread 9.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -.5 basis point
  • MBS  5/10 Treasury Spread  72.0 +.75 basis point
  • IHS Markit CMBX BBB- 6 74.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.37 -.51%
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 130.0 -7.0 basis points
  • China Iron Ore Spot 206.85 USD/Metric Tonne -.3%
  • Citi US Economic Surprise Index 44.8 +.3 point
  • Citi Eurozone Economic Surprise Index 116.0 -4.4 points
  • Citi Emerging Markets Economic Surprise Index 78.7 -.3 point
  • 10-Year TIPS Spread 2.24 unch.
  • 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -329 open in Japan 
  • China A50 Futures: Indicating -125 open in China
  • DAX Futures: Indicating +11 open in Germany
Portfolio:
  • Slightly Lower: On losses in my commodity/industrial/biotech sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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