Wednesday, June 16, 2021

Stocks Lower into Final Hour on Fed Taper Worries, Rising Long-Term Rates, Dollar Strength, Metals&Mining/Homebuilding 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) 18.0 +6.0%
  • Bloomberg Global Risk On/Risk Off Index 3,190.0 -168.0 points
  • Euro/Yen Carry Return Index 137.10 -.6%
  • Emerging Markets Currency Volatility(VXY) 8.6 -.7%
  • S&P 500 Implied Correlation 36.2 +8.6%
  • ISE Sentiment Index 147.0  +27.0 points
  • Total Put/Call .90 +25.0%
  • NYSE Arms 1.15 +26.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.29 +1.2%
  • US Energy High-Yield OAS 389.53 -1.5%
  • European Financial Sector CDS Index 54.72 -.82%
  • Italian/German 10Y Yld Spread 103.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 83.51 +.70%
  • Emerging Market CDS Index 154.21 +1.42%
  • China Corp. High-Yield Bond USD ETF(KCCB) 39.19 +.14%
  • 2-Year Swap Spread 7.5 -.25 basis point
  • TED Spread 10.5 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.5 -.25 basis point
  • MBS  5/10 Treasury Spread  71.5 +.75 basis point
  • IHS Markit CMBX BBB- 6 74.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.17 -.43%
  • 3-Month T-Bill Yield .04% +3.0 basis points
  • Yield Curve 133.0 +1.0 basis point
  • China Iron Ore Spot 206.0 USD/Metric Tonne -1.9%
  • Citi US Economic Surprise Index 44.9 -5.1 points
  • Citi Eurozone Economic Surprise Index 119.40 -3.2 points
  • Citi Emerging Markets Economic Surprise Index 79.2 -7.1 points
  • 10-Year TIPS Spread 2.34 -5.0 basis points
  • 83.0% chance of no change at Sept. 22nd meeting, 83.2% chance of no change at Nov. 3rd meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +114 open in Japan 
  • China A50 Futures: Indicating -146 open in China
  • DAX Futures: Indicating +25 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech/biotech/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 75% Net Long

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