Wednesday, October 27, 2021

Stocks Reversing Slightly Lower into Final Hour on US Tax & Spend Worries, Policy-Induced Labor/Product Shortages, Technical Selling, Energy/Financial Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 15.6 -2.3%
  • Bloomberg Global Risk On/Risk Off Index 3,485.0 -151.0 points
  • Euro/Yen Carry Return Index 136.23 -.18%
  • Emerging Markets Currency Volatility(VXY) 9.11 -.76%
  • S&P 500 Implied Correlation 51.6 +2.4%
  • ISE Sentiment Index 96.0  -21.0 points
  • Total Put/Call .80 -4.8%
  • NYSE Arms 1.34 +1.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.0 -.32%
  • US Energy High-Yield OAS 351.49 +.30%
  • European Financial Sector CDS Index 55.43 -.46%
  • Italian/German 10Y Yld Spread 112.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 79.65 -2.86%
  • Emerging Market CDS Index 179.42 -.08%
  • China Corp. High-Yield Bond USD ETF(KHYB) 33.89 +.07%
  • 2-Year Swap Spread 16.25 -1.25 basis points
  • TED Spread 8.75 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.5 -1.25 basis points
  • MBS  5/10 Treasury Spread  66.25 -.75 basis point
  • IHS Markit CMBX BBB- 6 72.0 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.46 +.04%
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 116.0 -4.0 basis points
  • China Iron Ore Spot 115.80 USD/Metric Tonne -1.7%
  • Citi US Economic Surprise Index -12.5 +14.9 points
  • Citi Eurozone Economic Surprise Index -66.5 +1.7 points
  • Citi Emerging Markets Economic Surprise Index -7.8 -3.0 points
  • 10-Year TIPS Spread 2.67 -2.0 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:
  • 150 new infections/100K people(last 7 days total) -5/100K people
  • 28% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating -243 open in Japan 
  • China A50 Futures: Indicating -16 open in China
  • DAX Futures: Indicating +1 open in Germany
Portfolio:
  • Slightly Lower: On losses in my industrial/consumer discretionary sector longs
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 75% Net Long

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