Thursday, November 11, 2021

Stocks Slightly Higher into Final Hour on Diminished China Debt Bubble Bursting Angst, Stable Long-Term Rates(TLT), Short-Covering, Alt Energy/Metals & Mining Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 17.4 -7.0%
  • Bloomberg Global Risk On/Risk Off Index 2,975.0 +171.0 points
  • Euro/Yen Carry Return Index 134.66 -.11%
  • Emerging Markets Currency Volatility(VXY) 9.0 +.11%
  • S&P 500 Implied Correlation 50.3 -.1%
  • ISE Sentiment Index 126.0  -5.0 points
  • Total Put/Call .72 -17.2%
  • NYSE Arms .67 -5.6%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.43 +.56%
  • US Energy High-Yield OAS 382.25 n/a
  • European Financial Sector CDS Index 56.91 +1.35%
  • Italian/German 10Y Yld Spread 119.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 89.53 -.2%
  • Emerging Market CDS Index 179.72 +.15%
  • China Corp. High-Yield Bond USD ETF(KHYB) 33.0 +1.8%
  • 2-Year Swap Spread 22.5 -.5 basis point
  • TED Spread 10.75 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -21.5 unch.
  • MBS  5/10 Treasury Spread  63.75 +1.5 basis points
  • IHS Markit CMBX BBB- 6 73.0 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 57.92 -.66%
  • 3-Month T-Bill Yield .05% n/a
  • Yield Curve 103.0 n/a
  • China Iron Ore Spot 91.60 USD/Metric Tonne +2.1%
  • Citi US Economic Surprise Index 19.2 +2.3 points
  • Citi Eurozone Economic Surprise Index -50.1 +.5 point
  • Citi Emerging Markets Economic Surprise Index -23.2 -1.9 points
  • 10-Year TIPS Spread 2.71 +1.0 basis point
  • 95.0% chance of no change at Jan. 26th meeting, 83.0% chance of no change at March 16th meeting
US Covid-19:
  • 162 new infections/100K people(last 7 days total) +3/100K people
  • 31% of Jan. 7th, 2021 peak(highest daily avg. new infections) +1.0 percentage point
Overseas Futures:
  • Nikkei 225 Futures: Indicating +181 open in Japan 
  • China A50 Futures: Indicating +74 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio:
  • Slightly Higher: On gains in my tech/consumer discretionary/commodity sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 75% Net Long

No comments: