Monday, September 20, 2021

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

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Every Sector Declining
  • Volume: Above Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 27.2 +30.6%
  • Bloomberg Global Risk On/Risk Off Index 2,386.0 -519.0 points
  • Euro/Yen Carry Return Index 132.38 -.56%
  • Emerging Markets Currency Volatility(VXY) 8.99 +3.1%.
  • S&P 500 Implied Correlation 57.81 +2.81%
  • ISE Sentiment Index 103.0  -1.0 points
  • Total Put/Call 1.08 +12.5%
  • NYSE Arms 1.78 -61.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.14 +15.8%
  • US Energy High-Yield OAS 393.15 +4.5%
  • European Financial Sector CDS Index 59.02 +15.8%
  • Italian/German 10Y Yld Spread 104.0 +4.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 93.27 +31.2%
  • Emerging Market CDS Index 171.12 +10.5%
  • China Corp. High-Yield Bond USD ETF(KHYB) 37.3 -.73%
  • 2-Year Swap Spread 11.0 unch.
  • TED Spread 9.25 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -4.25 +.5 basis point
  • MBS  5/10 Treasury Spread  75.0 +1.25 basis points
  • IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 59.32 -.49%
  • 3-Month T-Bill Yield .02% -1.0 basis point
  • Yield Curve 112.0 +3.0 basis points
  • China Iron Ore Spot 95.20 USD/Metric Tonne -2.1%
  • Citi US Economic Surprise Index -39.2 +6.1 points
  • Citi Eurozone Economic Surprise Index -23.3 -4.1 points
  • Citi Emerging Markets Economic Surprise Index 3.8 -1.3 points
  • 10-Year TIPS Spread 2.31 -4.0 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:
  • 314 new infections/100K people(last 7 days total) -13/100K people
  • 59% of Jan. 7th, 2021 peak(highest daily avg. new infections) -2.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating -1,100 open in Japan 
  • China A50 Futures: Indicating -550 open in China
  • DAX Futures: Indicating -75 open in Germany
Portfolio:
  • Slightly Lower: On losses in my biotech/tech sector longs,
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 25% Net Long

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