Wednesday, October 20, 2021

Stocks Rising into Final Hour on Diminished US Tax/Spend Fears, Earnings Optimism, Stable Long-Term Rates, Healthcare/Homebuilding Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 15.6 -.5%
  • Bloomberg Global Risk On/Risk Off Index 3,637.0 +33.0 points
  • Euro/Yen Carry Return Index 137.33 +.05%
  • Emerging Markets Currency Volatility(VXY) 8.91 -.22%
  • S&P 500 Implied Correlation 52.6 -1.6%
  • ISE Sentiment Index 76.0  -27.0 points
  • Total Put/Call .71 -4.0%
  • NYSE Arms .82 unch.
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.21 -.57%
  • US Energy High-Yield OAS 350.17 -.33%
  • European Financial Sector CDS Index 56.13 -.8%
  • Italian/German 10Y Yld Spread 104.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 82.9 -1.5%
  • Emerging Market CDS Index 176.06 -1.2%
  • China Corp. High-Yield Bond USD ETF(KHYB) 34.93 +.17%
  • 2-Year Swap Spread 17.0 +.75 basis point
  • TED Spread 8.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.0 +1.75 basis points
  • MBS  5/10 Treasury Spread  67.25 unch.
  • IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.92 +.39%
  • 3-Month T-Bill Yield .05% +1.0 basis point
  • Yield Curve 125.0 +8.0 basis points
  • China Iron Ore Spot 124.25 USD/Metric Tonne +.3%
  • Citi US Economic Surprise Index -36.8 +1.7 points
  • Citi Eurozone Economic Surprise Index -74.4 -.6 point
  • Citi Emerging Markets Economic Surprise Index -4.6 -.2 point
  • 10-Year TIPS Spread 2.59 +4.0 basis points
  • 100.0% chance of no change at Dec. 15th meeting, 95.2% chance of no change at Jan. 26th meeting
US Covid-19:
  • 169 new infections/100K people(last 7 days total) -8/100K people
  • 32% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +85 open in Japan 
  • China A50 Futures: Indicating +19 open in China
  • DAX Futures: Indicating -17 open in Germany
Portfolio:
  • Higher: On gains in my commodity/industrial/medical/consumer discretionary sector longs
  • Disclosed Trades:  None
  • Market Exposure:  100% Net Long

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