Monday, October 11, 2021

Stocks Reversing Lower into Afternoon on Policy-Induced Labor/Product Shortages, China Debt Bubble-Bursting Worries, US Stagflation Fears, Retail/Airline Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.2 +2.3%
  • Bloomberg Global Risk On/Risk Off Index 3,463.0 +155.0 points
  • Euro/Yen Carry Return Index 135.10 +.7%
  • Emerging Markets Currency Volatility(VXY) 8.9 +.22%
  • S&P 500 Implied Correlation 56.2 +1.9%
  • ISE Sentiment Index 94.0  -6.0 points
  • Total Put/Call .88 -15.4%
  • NYSE Arms 1.14 +54.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.89 +.16%
  • US Energy High-Yield OAS 373.39 n/a
  • European Financial Sector CDS Index 60.02 +2.3%
  • Italian/German 10Y Yld Spread 104.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 94.85 +7.0%
  • Emerging Market CDS Index 182.27 -.02%
  • China Corp. High-Yield Bond USD ETF(KHYB) 33.85 -2.4%
  • 2-Year Swap Spread 10.75 -.25 basis point
  • TED Spread 7.5 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.75 unch.
  • MBS  5/10 Treasury Spread  71.25 unch.
  • IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.55 -.11%
  • 3-Month T-Bill Yield .05% n/a
  • Yield Curve 127.0 n/a
  • China Iron Ore Spot 131.70 USD/Metric Tonne +2.7%
  • Citi US Economic Surprise Index -22.4 -5.0 points
  • Citi Eurozone Economic Surprise Index -74.8 +1.9 points
  • Citi Emerging Markets Economic Surprise Index -6.4 -1.9 points
  • 10-Year TIPS Spread 2.51 n/a
  • 100.0% chance of no change at Dec. 15th meeting, 100.0% chance of no change at Jan. 26th meeting
US Covid-19:
  • 202 new infections/100K people(last 7 days total) -9/100K people
  • 38% 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 -89 open in China
  • DAX Futures: Indicating -55 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/commodity sector longs and emerging market shorts
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

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