Thursday, July 29, 2021

Stocks Higher into Final Hour on Earnings Optimism, Dollar Weakness, Oil Gain, Commodity/Homebuilding Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 17.4 -4.8%
  • Bloomberg Global Risk On/Risk Off Index 2,800.0 +159.0 points
  • Euro/Yen Carry Return Index 134.44 +.02%
  • Emerging Markets Currency Volatility(VXY) 8.6 -1.3%
  • S&P 500 Implied Correlation 50.8 -.9%
  • ISE Sentiment Index 115.0  -14.0 points
  • Total Put/Call .63 -19.2%
  • NYSE Arms 1.02 +37.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.45 -1.3%
  • US Energy High-Yield OAS 422.44 -.98%
  • European Financial Sector CDS Index 53.86 -.64%
  • Italian/German 10Y Yld Spread 108.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 90.5 -2.0%
  • Emerging Market CDS Index 161.35 -3.0%
  • China Corp. High-Yield Bond USD ETF(KCCB) 38.0 -.35%
  • 2-Year Swap Spread 7.75 unch.
  • TED Spread 8.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.5 -.5 basis point
  • MBS  5/10 Treasury Spread  70.0 -2.0 basis points
  • IHS Markit CMBX BBB- 6 73.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.29 +.62%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 104.0 unch.
  • China Iron Ore Spot 189.0 USD/Metric Tonne -2.4%
  • Citi US Economic Surprise Index -19.0 -22.2 points
  • Citi Eurozone Economic Surprise Index 45.4 +4.7 points
  • Citi Emerging Markets Economic Surprise Index 49.6 -1.2 points
  • 10-Year TIPS Spread 2.42 +4.0 basis points
  • 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
US Covid-19:
  • 137 infections/100K people(last 7 days) +7/100K people
  • 26% of Jan. 7th, 2021 peak(highest daily avg. new infections) +1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +41 open in Japan 
  • China A50 Futures: Indicating -124 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio:
  • Higher: On gains in my industrial/tech/consumer discretionary/medical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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