Tuesday, August 24, 2021

Stocks Rising into Final Hour on Diminishing Virus Lockdown Fears, Oil Gain, Short-Covering, Consumer Discretionary/Commodity 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) 17.0 -.6%
  • Bloomberg Global Risk On/Risk Off Index 2,705.0 +92.0 points
  • Euro/Yen Carry Return Index 132.96 -.01%
  • Emerging Markets Currency Volatility(VXY) 8.9 -1.3%
  • S&P 500 Implied Correlation 49.3 -.06%
  • ISE Sentiment Index 100.0  -29.0 points
  • Total Put/Call .70 -14.6%
  • NYSE Arms .48 -32.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 48.39 -.56%
  • US Energy High-Yield OAS 444.18 -2.2%
  • European Financial Sector CDS Index 52.78 -.38%
  • Italian/German 10Y Yld Spread 105.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 72.28 -1.16%
  • Emerging Market CDS Index 160.06 -2.0%
  • China Corp. High-Yield Bond USD ETF(KHYB) 38.4 +.18%
  • 2-Year Swap Spread 9.5 +.75 basis point
  • TED Spread 8.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.0 -.75 basis point
  • MBS  5/10 Treasury Spread  74.5 -2.0 basis points
  • IHS Markit CMBX BBB- 6 72.5 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.74 +.52%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 104.0 unch.
  • China Iron Ore Spot 151.10 USD/Metric Tonne +12.5%
  • Citi US Economic Surprise Index -47.3 -10.7 points
  • Citi Eurozone Economic Surprise Index -7.7 -.1 point
  • Citi Emerging Markets Economic Surprise Index 33.7 -1.2 points
  • 10-Year TIPS Spread 2.31 +3.0 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:
  • 320 new infections/100K people(last 7 days total) +6/100K people
  • 60% of Jan. 7th, 2021 peak(highest daily avg. new infections) +1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +108 open in Japan 
  • China A50 Futures: Indicating +96 open in China
  • DAX Futures: Indicating +2 open in Germany
Portfolio:
  • Higher: On gains in my tech/medical/industrial/consumer discretionary sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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