Monday, August 02, 2021

Stocks Slightly Higher into Final Hour on Diminished Virus Shutdown Fears, Lower Long-Term Rates, Earnings Optimism, Tech/Homebuilding Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 19.4 +6.4%
  • Bloomberg Global Risk On/Risk Off Index 2,556.0 -61.0 points
  • Euro/Yen Carry Return Index 133.96 -.37%
  • Emerging Markets Currency Volatility(VXY) 8.59 -.46%
  • S&P 500 Implied Correlation 54.3 +5.8%
  • ISE Sentiment Index 105.0  +7.0 points
  • Total Put/Call .82 unch.
  • NYSE Arms 1.1 -42.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.65 +.07%
  • US Energy High-Yield OAS 430.32 +1.4%
  • European Financial Sector CDS Index 53.81 -.77%
  • Italian/German 10Y Yld Spread 106.0 -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 91.0 +.1%
  • Emerging Market CDS Index 163.02 -.89%
  • China Corp. High-Yield Bond USD ETF(KHYB) 37.8 unch.
  • 2-Year Swap Spread 7.75 unch.
  • TED Spread 7.75 -.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.0 +.75 basis point
  • MBS  5/10 Treasury Spread  72.75 +.25 basis point
  • IHS Markit CMBX BBB- 6 73.5 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.22 +.32%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 104.0 -1.0 basis point
  • China Iron Ore Spot 177.70 USD/Metric Tonne -.2%
  • Citi US Economic Surprise Index -15.4 -1.6 points
  • Citi Eurozone Economic Surprise Index 38.5 -1.9 points
  • Citi Emerging Markets Economic Surprise Index 41.5 -7.8 points
  • 10-Year TIPS Spread 2.37 -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:
  • 170 infections/100K people(last 7 days) +26/100K people
  • 32% of Jan. 7th, 2021 peak(highest daily avg. new infections) +5.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating -171 open in Japan 
  • China A50 Futures: Indicating -166 open in China
  • DAX Futures: Indicating -19 open in Germany
Portfolio:
  • Higher: On gains in my tech/biotech/consumer discretionary sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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