Thursday, October 14, 2021

Stocks Surging into Final Hour on Lower Long-Term Rates, Earnings Optimism, Technical Buying, Tech/Healthcare Sector Strength

Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Almost Every Sector Rising
  • Volume: Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.0 -8.5%
  • Bloomberg Global Risk On/Risk Off Index 3,275.0 +56.0 points
  • Euro/Yen Carry Return Index 135.89 +.32%
  • Emerging Markets Currency Volatility(VXY) 8.84 -.79%
  • S&P 500 Implied Correlation 54.1 -5.8%
  • ISE Sentiment Index 107.0  +1.0 point
  • Total Put/Call .78 -12.4%
  • NYSE Arms .99 -18.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.6 -2.9%
  • US Energy High-Yield OAS 365.41 -1.9%
  • European Financial Sector CDS Index 57.85 -3.5%
  • Italian/German 10Y Yld Spread 102.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 93.0 -.6%
  • Emerging Market CDS Index 182.06 -2.0%
  • China Corp. High-Yield Bond USD ETF(KHYB) 34.52 +1.3%
  • 2-Year Swap Spread 13.75 +.75 basis point
  • TED Spread 8.75 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.5 -1.75 basis points
  • MBS  5/10 Treasury Spread  69.0 -3.5 basis points
  • IHS Markit CMBX BBB- 6 71.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.71 -.07%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 120.0 -3.0 basis points
  • China Iron Ore Spot 120.7 USD/Metric Tonne +.2%
  • Citi US Economic Surprise Index -19.3 +1.0 point
  • Citi Eurozone Economic Surprise Index -73.8 +.2 point
  • Citi Emerging Markets Economic Surprise Index -3.1 -1.1 points
  • 10-Year TIPS Spread 2.5 +1.0 basis point
  • 99.5% chance of no change at Dec. 15th meeting, 97.0% chance of no change at Jan. 26th meeting
US Covid-19:
  • 188 new infections/100K people(last 7 days total) -3/100K people
  • 35% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +190 open in Japan 
  • China A50 Futures: Indicating +2 open in China
  • DAX Futures: Indicating +3 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
  • Market Exposure: Moved to 75% Net Long

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