Thursday, October 21, 2021

Stocks Reversing Slightly Higher into Final Hour on Earnings Optimism, Short-Covering, Technical Buying, Consumer Discretionary/Tech Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Lower
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.5 -.3%
  • Bloomberg Global Risk On/Risk Off Index 3,581.0 -40.0 points
  • Euro/Yen Carry Return Index 136.62 -.59%
  • Emerging Markets Currency Volatility(VXY) 9.07 +1.9%
  • S&P 500 Implied Correlation 51.4 +.19%
  • ISE Sentiment Index 128.0  +38.0 points
  • Total Put/Call .75 -2.6%
  • NYSE Arms 1.39 +76.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.69 +.84%
  • US Energy High-Yield OAS 348.85 -.66%
  • European Financial Sector CDS Index 56.62 +.87%
  • Italian/German 10Y Yld Spread 104.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 84.1 +1.4%
  • Emerging Market CDS Index 180.99 +2.9%
  • China Corp. High-Yield Bond USD ETF(KHYB) 34.42 -1.3%
  • 2-Year Swap Spread 16.75 +.25 basis point
  • TED Spread 8.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.5 -1.5 basis points
  • MBS  5/10 Treasury Spread  67.75 +.5 basis point
  • IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.30 -.92%
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 127.0 +2.0 basis points
  • China Iron Ore Spot 117.15 USD/Metric Tonne -4.3%
  • Citi US Economic Surprise Index -34.4 +2.4 points
  • Citi Eurozone Economic Surprise Index -72.8 +1.6 points
  • Citi Emerging Markets Economic Surprise Index -3.7 +.9 point
  • 10-Year TIPS Spread 2.66 +7.0 basis points
  • 100.0% chance of no change at Dec. 15th meeting, 92.6% chance of no change at Jan. 26th meeting
US Covid-19:
  • 163 new infections/100K people(last 7 days total) -6/100K people
  • 31% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating -98 open in Japan 
  • China A50 Futures: Indicating -19 open in China
  • DAX Futures: Indicating -1 open in Germany
Portfolio:
  • Higher: On gains in my medical/consumer discretionary/tech sector longs and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure:  100% Net Long

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