Tuesday, July 13, 2021

Stocks Lower into Final Hour on Rising Long-Term Rates, Dollar Strength, Technical Selling, Alt Energy/Homebuilding Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 16.7 +3.3%
  • Bloomberg Global Risk On/Risk Off Index 3,149.0 -22.0 points
  • Euro/Yen Carry Return Index 134.56 -.43%
  • Emerging Markets Currency Volatility(VXY) 8.70 -.34%
  • S&P 500 Implied Correlation 48.51 +1.7%
  • ISE Sentiment Index 87.0  -18.0 points
  • Total Put/Call .79 -10.2%
  • NYSE Arms .88 -27.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.4 +1.24%
  • US Energy High-Yield OAS 377.27 -.83%
  • European Financial Sector CDS Index 53.91 -.19%
  • Italian/German 10Y Yld Spread 101.0 -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 88.82 -.21%
  • Emerging Market CDS Index 162.70 +1.8%
  • China Corp. High-Yield Bond USD ETF(KCCB) 38.92 -.1%
  • 2-Year Swap Spread 7.75 +.25 basis point
  • TED Spread 8.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.75 unch.
  • MBS  5/10 Treasury Spread  68.5 -1.75 basis points
  • IHS Markit CMBX BBB- 6 73.75 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.86 -.25%
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 114.0 +2.0 basis points
  • China Iron Ore Spot 210.75 USD/Metric Tonne +.25%
  • Citi US Economic Surprise Index 20.8 +24.0 points
  • Citi Eurozone Economic Surprise Index 82.20 -1.3 points
  • Citi Emerging Markets Economic Surprise Index 63.5 +5.1 points
  • 10-Year TIPS Spread 2.37 +4.0 basis points
  • 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 -178 open in Japan 
  • China A50 Futures: Indicating -90 open in China
  • DAX Futures: Indicating -27 open in Germany
Portfolio:
  • Slightly Lower: On losses in my commodity/industrial/tech/biotech sector longs
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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