Friday, October 15, 2021

Stocks Surging into Afternoon on Earnings Optimism, Less China Debt Bubble Bursting Angst, Technical Buying, Financial/Transport Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.1 -4.6%
  • Bloomberg Global Risk On/Risk Off Index 3,494.0 +244.0 points
  • Euro/Yen Carry Return Index 136.73 +.56%
  • Emerging Markets Currency Volatility(VXY) 8.79 -.11%
  • S&P 500 Implied Correlation 54.9 +.2%
  • ISE Sentiment Index 110.0  +6.0 points
  • Total Put/Call .89 +8.5%
  • NYSE Arms .69 -20.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.90 -.81%
  • US Energy High-Yield OAS 359.57 -1.4%
  • European Financial Sector CDS Index 57.13 -1.2%
  • Italian/German 10Y Yld Spread 104.0 +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 87.08 -6.3%
  • Emerging Market CDS Index 180.38 -.57%
  • China Corp. High-Yield Bond USD ETF(KHYB) 34.74 +.17%
  • 2-Year Swap Spread 14.25 +.5 basis point
  • TED Spread 8.25 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.5 -2.0 basis points
  • MBS  5/10 Treasury Spread  67.25 -1.75 basis points
  • IHS Markit CMBX BBB- 6 71.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.83 +.19%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 117.0 -3.0 basis points
  • China Iron Ore Spot 120.6 USD/Metric Tonne -.2%
  • Citi US Economic Surprise Index -22.1 -2.8 points
  • Citi Eurozone Economic Surprise Index -73.7 +.1 point
  • Citi Emerging Markets Economic Surprise Index -4.3 -1.2 points
  • 10-Year TIPS Spread 2.56 +6.0 basis points
  • 99.5% chance of no change at Dec. 15th meeting, 94.5% chance of no change at Jan. 26th meeting
US Covid-19:
  • 185 new infections/100K people(last 7 days total) -3/100K people
  • 35% of Jan. 7th, 2021 peak(highest daily avg. new infections) unch.
Overseas Futures:
  • Nikkei 225 Futures: Indicating +162 open in Japan 
  • China A50 Futures: Indicating -56 open in China
  • DAX Futures: Indicating -13 open in Germany
Portfolio:
  • Higher: On gains in my tech/commodity/industrial/medical/consumer discretionary sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 100% Net Long

No comments: