Tuesday, October 12, 2021

Stocks Reversing Slightly Lower into Afternoon on Policy-Induced Labor/Product Shortages, US Stagflation Fears, Less Dovish Fed Commentary, Tech/Pharma Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 19.4 -3.0%
  • Bloomberg Global Risk On/Risk Off Index 3,342.0 -33.0 points
  • Euro/Yen Carry Return Index 135.10 +.06%
  • Emerging Markets Currency Volatility(VXY) 8.9 +.11%
  • S&P 500 Implied Correlation 56.2 +.21%
  • ISE Sentiment Index 111.0  +21.0 points
  • Total Put/Call .76 -22.5%
  • NYSE Arms 1.15 -1.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.54 +1.2%
  • US Energy High-Yield OAS 372.03-.39%
  • European Financial Sector CDS Index 60.36 +.57%
  • Italian/German 10Y Yld Spread 101.0 -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 94.17 -.84%
  • Emerging Market CDS Index 188.92 +3.17%
  • China Corp. High-Yield Bond USD ETF(KHYB) 34.15 +.95%
  • 2-Year Swap Spread 12.25 +1.5 basis points
  • TED Spread 7.5 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -18.75 unch.
  • MBS  5/10 Treasury Spread  72.5 +.75 basis point
  • IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.58 +.2%
  • 3-Month T-Bill Yield .04% -1.0 basis point
  • Yield Curve 126.0 -1.0 basis point
  • China Iron Ore Spot 120.0 USD/Metric Tonne -1.9%
  • Citi US Economic Surprise Index -22.1 +.3 point
  • Citi Eurozone Economic Surprise Index -75.1 -.3 point
  • Citi Emerging Markets Economic Surprise Index -4.3 -2.1 points
  • 10-Year TIPS Spread 2.49 -2.0 basis points
  • 100.0% chance of no change at Dec. 15th meeting, 97.5% chance of no change at Jan. 26th meeting
US Covid-19:
  • 187 new infections/100K people(last 7 days total) -15/100K people
  • 35% of Jan. 7th, 2021 peak(highest daily avg. new infections) -3.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +110 open in Japan 
  • China A50 Futures: Indicating +!0 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio:
  • Slightly Lower: On losses in my tech sector longs and index hedges
  • Disclosed Trades:  None
  • Market Exposure: 25% Net Long

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