Thursday, October 28, 2021

Stocks Rising into Final Hour on Earnings Optimism, Stable Long-Term Rates, Short-Covering, Tech/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.3 -4.1%
  • Bloomberg Global Risk On/Risk Off Index 3,325.0 -13.0 points
  • Euro/Yen Carry Return Index 136.69 +.38%
  • Emerging Markets Currency Volatility(VXY) 9.11 -.11%
  • S&P 500 Implied Correlation 53.2 -2.9%
  • ISE Sentiment Index 131.0  +44.0 points
  • Total Put/Call .64 -23.8%
  • NYSE Arms .92 -46.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.37 -.46%
  • US Energy High-Yield OAS 353.04 +.01%
  • European Financial Sector CDS Index 56.99 +2.8%
  • Italian/German 10Y Yld Spread 119.0 +7.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 80.02 +.38%
  • Emerging Market CDS Index 181.37 +.01%
  • China Corp. High-Yield Bond USD ETF(KHYB) 33.62 -.99%
  • 2-Year Swap Spread 17.25 +1.0 basis point
  • TED Spread 9.0 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.25 -.75 basis point
  • MBS  5/10 Treasury Spread  65.0 -1.25 basis points
  • IHS Markit CMBX BBB- 6 72.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.38 -.02%
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 103.0 -13.0 basis points
  • China Iron Ore Spot 110.0 USD/Metric Tonne -3.7%
  • Citi US Economic Surprise Index -19.5 -7.0 points
  • Citi Eurozone Economic Surprise Index -56.0 +10.5 points
  • Citi Emerging Markets Economic Surprise Index -5.1 +2.7 points
  • 10-Year TIPS Spread 2.61 -6.0 basis points
  • 97.8% chance of no change at Dec. 15th meeting, 93.0% chance of no change at Jan. 26th meeting
US Covid-19:
  • 160 new infections/100K people(last 7 days total) +10/100K people
  • 30% of Jan. 7th, 2021 peak(highest daily avg. new infections) +2.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +30 open in Japan 
  • China A50 Futures: Indicating +76 open in China
  • DAX Futures: Indicating -28 open in Germany
Portfolio:
  • Higher: On gains in my industrial/consumer discretionary/tech/commodity sector longs and emerging market shorts
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 100% Net Long

No comments: