Thursday, July 22, 2021

Stocks Rising into Final Hour on Earnings Optimism, Lower Long-Term Rates, Oil Gain, Restaurant/Road & Rail Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Below Average
  • Market Leading Stocks: Performing In line
Equity Investor Angst:
  • Volatility(VIX) 17.6 -1.7%
  • Bloomberg Global Risk On/Risk Off Index 2,832.0 +2.0 points
  • Euro/Yen Carry Return Index 133.94 -.31%
  • Emerging Markets Currency Volatility(VXY) 8.8 -.11%
  • S&P 500 Implied Correlation 51.4 -1.3%
  • ISE Sentiment Index 112.0  +2.0 point
  • Total Put/Call .81 -4.7%
  • NYSE Arms 1.33 +155.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.98 -.43%
  • US Energy High-Yield OAS 421.73 -.4%
  • European Financial Sector CDS Index 54.33 -2.1%
  • Italian/German 10Y Yld Spread 108.0 -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 85.87 -.65%
  • Emerging Market CDS Index 162.47 +.46%
  • China Corp. High-Yield Bond USD ETF(KCCB) 38.80 -.13%
  • 2-Year Swap Spread 8.25 -.25 basis point
  • TED Spread 9.5 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -5.0 -1.0 basis point
  • MBS  5/10 Treasury Spread  73.25 unch.
  • IHS Markit CMBX BBB- 6 73.5 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.82 +.03%
  • 3-Month T-Bill Yield .04% -1.0 basis point
  • Yield Curve 101.0 unch.
  • China Iron Ore Spot 198.0 USD/Metric Tonne -.7%
  • Citi US Economic Surprise Index 11.6 -.5 point
  • Citi Eurozone Economic Surprise Index 59.6 -.7 point
  • Citi Emerging Markets Economic Surprise Index 54.5 -4.0 points
  • 10-Year TIPS Spread 2.31 +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:
  • 85 infections/100K people(last 7 days) +6/100K people
  • 16% of Jan. 7th, 2021 peak(highest daily avg. new infections) +1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +492 open in Japan 
  • China A50 Futures: Indicating -46 open in China
  • DAX Futures: Indicating +21 open in Germany
Portfolio:
  • Higher: On gains in my tech/industrial/biotech/medical sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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