Wednesday, October 06, 2021

Stocks Reversing Slightly Higher into Final Hour on Stable Long-Term Rates, Declining US Covid Cases, Technical Buying, Tech/Road & Rail Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 21.9 +3.0%
  • Bloomberg Global Risk On/Risk Off Index 2,917.0 -35.0 points
  • Euro/Yen Carry Return Index 132.89 -.38%
  • Emerging Markets Currency Volatility(VXY) 9.0 +1.5%
  • S&P 500 Implied Correlation 57.5 +1.8%
  • ISE Sentiment Index 96.0  -3.0 points
  • Total Put/Call 1.0 +21.4%
  • NYSE Arms 1.2 +43.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.284 +.33%
  • US Energy High-Yield OAS 378.76 +.62%
  • European Financial Sector CDS Index 58.76 +2.6%
  • Italian/German 10Y Yld Spread 107.0 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 90.37 +2.2%
  • Emerging Market CDS Index 185.32 +1.9%
  • China Corp. High-Yield Bond USD ETF(KHYB) 35.82 -.12%
  • 2-Year Swap Spread 10.0 unch.
  • TED Spread 9.0 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -16.75 -.5 basis point
  • MBS  5/10 Treasury Spread  72.75 +1.5 basis points
  • IHS Markit CMBX BBB- 6 71.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.67 -.19%
  • 3-Month T-Bill Yield .04% +1.0 basis point
  • Yield Curve 126.0 +5.0 basis points
  • China Iron Ore Spot 117.5 USD/Metric Tonne -.2%
  • Citi US Economic Surprise Index -14.9 -.3 point
  • Citi Eurozone Economic Surprise Index -63.9 -9.8 points
  • Citi Emerging Markets Economic Surprise Index -4.4 -5.0 points
  • 10-Year TIPS Spread 2.45 unch.
  • 100.0% chance of no change at Dec. 15th meeting, 100.0% chance of no change at Jan. 26th meeting
US Covid-19:
  • 218 new infections/100K people(last 7 days total) -3/100K people
  • 41% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +232 open in Japan 
  • China A50 Futures: Indicating -351 open in China
  • DAX Futures: Indicating +65 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/medical/consumer discretiony sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 100% Net Long

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