Thursday, November 18, 2021

Stocks Reversing Modestly Higher into Final Hour on Earnings Optimism, Stable Long-Term Rates, Technical Buying, Tech/Retail Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Above Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.1 -.2%
  • Bloomberg Global Risk On/Risk Off Index 3,114.0 -44.0 points
  • Euro/Yen Carry Return Index 134.09 +.6%
  • Emerging Markets Currency Volatility(VXY) 9.8 +4.6%
  • S&P 500 Implied Correlation 49.3 -1.7%
  • ISE Sentiment Index 152.0  +25.0 points
  • Total Put/Call .64 -20.0%
  • NYSE Arms 1.28 +14.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 50.98 +.07%
  • US Energy High-Yield OAS 385.28 +.80%
  • European Financial Sector CDS Index 57.14 -.63%
  • Italian/German 10Y Yld Spread 120.0 -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 86.91 -2.2%
  • Emerging Market CDS Index 185.28 +.46%
  • China Corp. High-Yield Bond USD ETF(KHYB) 33.3 +.59%
  • 2-Year Swap Spread 24.25 -.25 basis point
  • TED Spread 11.5 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.0 -2.0 basis points
  • MBS  5/10 Treasury Spread  64.5 +.5 basis point
  • IHS Markit CMBX BBB- 6 73.0 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 56.30 -.74%
  • 3-Month T-Bill Yield .04% unch.
  • Yield Curve 108.0 -3.0 basis points
  • China Iron Ore Spot 86.45 USD/Metric Tonne -1.3%
  • Citi US Economic Surprise Index 31.9 +6.3 points
  • Citi Eurozone Economic Surprise Index -48.0 +.9 point
  • Citi Emerging Markets Economic Surprise Index -19.5 -1.1 points
  • 10-Year TIPS Spread 2.72 +1.0 basis point
  • 95.3% chance of no change at Jan. 26th meeting, 84.7% chance of no change at March 16th meeting
US Covid-19:
  • 191 new infections/100K people(last 7 days total) +5/100K people
  • 36% of Jan. 7th, 2021 peak(highest daily avg. new infections) +1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating -43 open in Japan 
  • China A50 Futures: Indicating -70 open in China
  • DAX Futures: Indicating +1 open in Germany
Portfolio:
  • Slightly Higher: On gains in my consumer discretionary/tech sector longs and emerging market shorts
  • Disclosed Trades:  None
  • Market Exposure:  100% Net Long

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