Wednesday, October 13, 2021

Stocks Slightly Higher into Final Hour on Lower Long-Term Rates, FOMC Commentary, Short-Covering, Tech/Metals & Mining Sector Strength

 

 Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 19.4 -3.0%
  • Bloomberg Global Risk On/Risk Off Index 3,201.0 -70.0 points
  • Euro/Yen Carry Return Index 135.51 +.30%
  • Emerging Markets Currency Volatility(VXY) 8.94 -.56%
  • S&P 500 Implied Correlation 55.8 -2.3%
  • ISE Sentiment Index 111.0  +14.0 points
  • Total Put/Call .83 +5.1%
  • NYSE Arms 1.20 +1.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 54.45 -.78%
  • US Energy High-Yield OAS 372.99 -.05%
  • European Financial Sector CDS Index 60.0 -.6%
  • Italian/German 10Y Yld Spread 103.0 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 93.5 -1.0%
  • Emerging Market CDS Index 186.45 -1.1%
  • China Corp. High-Yield Bond USD ETF(KHYB) 33.99 -.32%
  • 2-Year Swap Spread 13.0 +.75 basis point
  • TED Spread 8.75 +1.25 basis points
  • 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 71.5 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.58 +.2%
  • 3-Month T-Bill Yield .04% -1.0 basis point
  • Yield Curve 123.0 -3.0 basis points
  • China Iron Ore Spot 120.0 USD/Metric Tonne -1.9%
  • Citi US Economic Surprise Index -20.3 +1.8 points
  • Citi Eurozone Economic Surprise Index -74.0 +1.1 points
  • Citi Emerging Markets Economic Surprise Index -2.0 +2.3 points
  • 10-Year TIPS Spread 2.52 +3.0 basis points
  • 100.0% chance of no change at Dec. 15th meeting, 95.1% chance of no change at Jan. 26th meeting
US Covid-19:
  • 191 new infections/100K people(last 7 days total) +4/100K people
  • 36% of Jan. 7th, 2021 peak(highest daily avg. new infections) +1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +65 open in Japan 
  • China A50 Futures: Indicating +85 open in China
  • DAX Futures: Indicating +3 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/commodity/industrial sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 50% Net Long

No comments: