Monday, October 04, 2021

Stocks Finish Substantially Lower on Policy-Induced Labor/Supply Shortages, Fed Tapering Worries, China Bubble-Bursting Fears, Biotech/Tech Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 23.9 +13.1%
  • Bloomberg Global Risk On/Risk Off Index 2,796.0 -243.0 points
  • Euro/Yen Carry Return Index 133.03 +.11%
  • Emerging Markets Currency Volatility(VXY) 8.8 +.68%
  • S&P 500 Implied Correlation 57.0 -9.1%
  • ISE Sentiment Index 103.0  -3.0 points
  • Total Put/Call .96 +4.4%
  • NYSE Arms .79 +38.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.51 +1.9%
  • US Energy High-Yield OAS 378.89 +.92%
  • European Financial Sector CDS Index 57.92 +2.22%
  • Italian/German 10Y Yld Spread 104.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 84.85 +.68%
  • Emerging Market CDS Index 183.49 +1.54%
  • China Corp. High-Yield Bond USD ETF(KHYB) 36.46 -.60%
  • 2-Year Swap Spread 9.5 -1.25 basis points
  • TED Spread 10.25 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.5 -.75 basis point
  • MBS  5/10 Treasury Spread  70.5 -.5 basis point
  • IHS Markit CMBX BBB- 6 71.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.86 -.19%
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 121.0 +1.0 basis point
  • China Iron Ore Spot 115.75 USD/Metric Tonne -2.25%
  • Citi US Economic Surprise Index -20.4 +3.4 points
  • Citi Eurozone Economic Surprise Index -54.6 +5.1 points
  • Citi Emerging Markets Economic Surprise Index 1.7 -2.0 points
  • 10-Year TIPS Spread 2.39 +1.0 basis point
  • 100.0% chance of no change at Dec. 15th meeting, 97.6% chance of no change at Jan. 26th meeting
US Covid-19:
  • 229 new infections/100K people(last 7 days total) -11/100K people
  • 43% of Jan. 7th, 2021 peak(highest daily avg. new infections) -2.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating -544 open in Japan 
  • China A50 Futures: Indicating -432 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio:
  • Lower: On losses in my tech/medical/industrial/consumer discretionary/biotech sector longs
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure: Moved to 50% Net Long

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