Monday, June 07, 2021

Stocks Slightly Lower into Final Hour on Valuation Concerns, Oil Decline, Technical Selling, Energy/Road&Rail Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.8 +2.3%
  • Bloomberg Global Risk On/Risk Off Index 3,508.0 -12.0 points
  • Euro/Yen Carry Return Index 137.65 -.07%
  • Emerging Markets Currency Volatility(VXY) 8.8 -2.0%
  • S&P 500 Implied Correlation 51.2 +4.2%
  • ISE Sentiment Index 122.0  +10.0 points
  • Total Put/Call .65 -22.6%
  • NYSE Arms .95 -34.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.12 -.23%
  • US Energy High-Yield OAS 415.30 -1.0%
  • European Financial Sector CDS Index 57.44 -.5%
  • Italian/German 10Y Yld Spread 111.0 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 83.59 -1.6%
  • Emerging Market CDS Index 157.16 +.03%
  • China Corp. High-Yield Bond USD ETF(KCCB) 39.31 +.46%
  • 2-Year Swap Spread 7.25 -.5 basis point
  • TED Spread 11.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -.75 basis point
  • MBS  5/10 Treasury Spread  67.0 +1.0 basis point
  • IHS Markit CMBX BBB- 6 74.25 +.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 61.68 +.04%
  • 3-Month T-Bill Yield .02% unch.
  • Yield Curve 142.0 -4.0 basis points
  • China Iron Ore Spot 192.7 USD/Metric Tonne -3.1%
  • Citi US Economic Surprise Index 13.0 +3.5 points
  • Citi Eurozone Economic Surprise Index 139.3 -9.7 points
  • Citi Emerging Markets Economic Surprise Index 60.10 +.5 point
  • 10-Year TIPS Spread 2.41 -1.0 basis point
  • 95.0% chance of no change at Sept. 22nd meeting, 95.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +131 open in Japan 
  • China A50 Futures: Indicating -67 open in China
  • DAX Futures: Indicating +23 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/biotech/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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