Friday, November 26, 2021

Stocks Substantially Lower into Final Hour on Global Virus Lockdown Fears, US Policy-Induced Stagflation Concerns, Emerging Market Debt/Currency Worries, Commodity/Financial Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Lower
  • Sector Performance: Almost Every Sector Declining
  • Volume: Heavy
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 27.5 +47.9%
  • Bloomberg Global Risk On/Risk Off Index 2,105.0 -1,021.0 points
  • Euro/Yen Carry Return Index 132.21 -.88%
  • Emerging Markets Currency Volatility(VXY) 10.6 unch.
  • S&P 500 Implied Correlation 49.1 n/a
  • ISE Sentiment Index 125.0  +26.0 points
  • Total Put/Call .91 +1.1%
  • NYSE Arms 1.18 +34.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 57.68 +9.3%
  • US Energy High-Yield OAS 428.70 +7.2%
  • European Financial Sector CDS Index 66.81 +7.1%
  • Italian/German 10Y Yld Spread 131.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 93.5 +7.4%
  • Emerging Market CDS Index 221.27 +9.8%
  • China Corp. High-Yield Bond USD ETF(KHYB) 32.9 -.86%
  • 2-Year Swap Spread 22.5 -.75 basis point
  • TED Spread 13.5 +.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -32.0 -3.25 basis points
  • MBS  5/10 Treasury Spread  69.0 +2.0 basis points
  • IHS Markit CMBX BBB- 6 72.75 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 54.24 -1.2%
  • 3-Month T-Bill Yield .04% -2.0 basis points
  • Yield Curve 98.0 -6.0 basis points
  • China Iron Ore Spot 97.10 USD/Metric Tonne -4.1%
  • Citi US Economic Surprise Index 26.4 -.1 point
  • Citi Eurozone Economic Surprise Index -14.6 +1.0 point
  • Citi Emerging Markets Economic Surprise Index -15.0 +.4 point
  • 10-Year TIPS Spread 2.55 -7.0 basis points
  • 97.5% chance of no change at Jan. 26th meeting, 82.4% chance of no change at March 16th meeting
US Covid-19:
  • 188 new infections/100K people(last 7 days total) -22/100K people
  • 35% of Jan. 7th, 2021 peak(highest daily avg. new infections) -4.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating -566 open in Japan 
  • China A50 Futures: Indicating -121 open in China
  • DAX Futures: Indicating +8 open in Germany
Portfolio:
  • Lower: On losses in my industrial/commodity/tech/transport sector longs
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges and took profits in my commodity longs
  • Market Exposure:  Moved to 50% Net Long

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