Friday, September 17, 2021

Stocks Falling into Afternoon on Tax Hike Fears, China Debt Bubble Bursting Worries, Labor/Product Shortage Concerns, Tech/Commodity Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.6 +10.4%
  • Bloomberg Global Risk On/Risk Off Index 2,976.0 -37.0 points
  • Euro/Yen Carry Return Index 133.14 -.13%
  • Emerging Markets Currency Volatility(VXY) 8.7 +1.6%.
  • S&P 500 Implied Correlation 55.3 +1.2%
  • ISE Sentiment Index 92.0  -23.0 points
  • Total Put/Call .95 +14.5%
  • NYSE Arms 1.19 -11.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 46.70 +1.2%
  • US Energy High-Yield OAS 376.38 -.76%
  • European Financial Sector CDS Index 50.96 +.8%
  • Italian/German 10Y Yld Spread 100.0 +.5 basis point
  • Asia Ex-Japan Investment Grade CDS Index 71.52 +6.5%
  • Emerging Market CDS Index 155.06 +.78%
  • China Corp. High-Yield Bond USD ETF(KHYB) 37.59 -.58%
  • 2-Year Swap Spread 11.0 +.25 basis point
  • TED Spread 9.0 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.75 +.75 basis point
  • MBS  5/10 Treasury Spread  73.75 -.5 basis point
  • IHS Markit CMBX BBB- 6 71.75 -.5 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.61 -.55%
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 112.0 +3.0 basis points
  • China Iron Ore Spot 99.60 USD/Metric Tonne -1.7%
  • Citi US Economic Surprise Index -45.3 -.7 point
  • Citi Eurozone Economic Surprise Index -19.2 -.7 point
  • Citi Emerging Markets Economic Surprise Index 5.1 -1.2 points
  • 10-Year TIPS Spread 2.35 -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:
  • 327 new infections/100K people(last 7 days total) -1/100K people
  • 61% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating -375 open in Japan 
  • China A50 Futures: Indicating -59 open in China
  • DAX Futures: Indicating -15 open in Germany
Portfolio:
  • Slightly Lower: On losses in my biotech/industrial/tech sector longs,
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: