Wednesday, July 28, 2021

Stocks Reversing Higher into Final Hour on More Dovish Fed Commentary, Earnings Optimism, Oil Gain, Tech/Biotech Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 18.1 -6.8%
  • Bloomberg Global Risk On/Risk Off Index 2,667.0 +125.0 points
  • Euro/Yen Carry Return Index 134.42 +.4%
  • Emerging Markets Currency Volatility(VXY) 8.7 +.4%
  • S&P 500 Implied Correlation 50.1 -2.3%
  • ISE Sentiment Index 146.0  +36.0 points
  • Total Put/Call .76 -25.5%
  • NYSE Arms .43 -50.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.02 -.92%
  • US Energy High-Yield OAS 424.0 -.52%
  • European Financial Sector CDS Index 54.21 -1.3%
  • Italian/German 10Y Yld Spread 107.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 92.34 +.47%
  • Emerging Market CDS Index 165.93 -.65%
  • China Corp. High-Yield Bond USD ETF(KCCB) 38.09 -.20%
  • 2-Year Swap Spread 7.75 +.5 basis point
  • TED Spread 8.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.0 +.25 basis point
  • MBS  5/10 Treasury Spread  72.0 -2.5 basis points
  • IHS Markit CMBX BBB- 6 73.5 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.89 +.26%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 104.0 -3.0 basis points
  • China Iron Ore Spot 198.50 USD/Metric Tonne -.35%
  • Citi US Economic Surprise Index 3.2 +.1 point
  • Citi Eurozone Economic Surprise Index 39.7 -1.2 points
  • Citi Emerging Markets Economic Surprise Index 50.8 +.3 point
  • 10-Year TIPS Spread 2.38 +1.0 basis point
  • 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
US Covid-19:
  • 130 infections/100K people(last 7 days) +9/100K people
  • 25% of Jan. 7th, 2021 peak(highest daily avg. new infections) +2.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +319 open in Japan 
  • China A50 Futures: Indicating +394 open in China
  • DAX Futures: Indicating -5 open in Germany
Portfolio:
  • Slightly Lower: On gains in my industrial/biotech/tech/consumer discretionary/mecdical sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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