Thursday, September 02, 2021

Stocks Modestly Higher into Final Hour on Diminishing Virus Lockdown Fears, Oil Gain, Short-Covering, Energy/Healthcare 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) 16.7 +3.9%
  • Bloomberg Global Risk On/Risk Off Index 2,955.0 -22.0 points
  • Euro/Yen Carry Return Index 134.76 +.24%
  • Emerging Markets Currency Volatility(VXY) 8.55 unch.
  • S&P 500 Implied Correlation 50.51 +1.8%
  • ISE Sentiment Index 99.0  -25.0 points
  • Total Put/Call .64 -20.0%
  • NYSE Arms .99 -27.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 46.42 +.71%
  • US Energy High-Yield OAS 401.51 -1.45%
  • European Financial Sector CDS Index 51.67 +.3%
  • Italian/German 10Y Yld Spread 105.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 64.61 -1.09%
  • Emerging Market CDS Index 150.09 -.72%
  • China Corp. High-Yield Bond USD ETF(KHYB) 38.40 -.23%
  • 2-Year Swap Spread 9.0 -.25 basis point
  • TED Spread 8.25 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -3.0 -.75 basis point
  • MBS  5/10 Treasury Spread  75.5 +.5 basis point
  • IHS Markit CMBX BBB- 6 72.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.54 -.01%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 109.0 -2.0 basis points
  • China Iron Ore Spot 143.0 USD/Metric Tonne -1.6%
  • Citi US Economic Surprise Index -51.8 +.7 point
  • Citi Eurozone Economic Surprise Index -10.9 -.1 point
  • Citi Emerging Markets Economic Surprise Index 18.5 +.7 point
  • 10-Year TIPS Spread 2.34 unch.
  • 100.0% chance of no change at Nov. 3rd meeting, 98.2% chance of no change at Dec. 15th meeting
US Covid-19:
  • 355 new infections/100K people(last 7 days total) +10/100K people
  • 67% of Jan. 7th, 2021 peak(highest daily avg. new infections) +2.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +92 open in Japan 
  • China A50 Futures: Indicating +2 open in China
  • DAX Futures: Indicating -27 open in Germany
Portfolio:
  • Slightly Higher: On gains in my consumer discretionary/biotech/medical/industrial sector longs
  • Disclosed Trades: None
  • Market Exposure: 100% Net Long

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