Monday, December 13, 2021

Stocks Lower into Final Hour on US Policy-Induced Stagflation Fears, Global Virus Lockdown/Mandate Worries, Meme Stock/Crypto Bubbles Bursting, Energy/Consumer Discretionary Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line:  Substantially Lower
  • Sector Performance: Most Sectors Declining
  • Volume: Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 20.3 +8.5%
  • Bloomberg Global Risk On/Risk Off Index 2,573.0 -170.0 points
  • Euro/Yen Carry Return Index 132.0 -.19%
  • Emerging Markets Currency Volatility(VXY) 10.8 +.4%
  • CBOE S&P 500 Implied Correlation Index 30.9 +7.7% 
  • ISE Sentiment Index 103.0  -8.0 points
  • Total Put/Call .93 -13.9%
  • NYSE Arms 1.40 +82.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 53.44 -.31%
  • US Energy High-Yield OAS 414.23 +.21%
  • European Financial Sector CDS Index 59.97 -.69%
  • Italian/German 10Y Yld Spread 129.0 -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 83.45 -1.37%
  • Emerging Market CDS Index 191.89 +.29%
  • China Corp. High-Yield Bond USD ETF(KHYB) 33.20 -.34%
  • 2-Year Swap Spread 19.5 -1.25 basis points
  • TED Spread 15.0 +.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 -.75 basis point
  • MBS  5/10 Treasury Spread  71.75 +.25 basis point
  • IHS Markit CMBX BBB- 6 72.25 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 53.43 -.16%
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 82.25 +2.75 basis points
  • China Iron Ore Spot 114.7 USD/Metric Tonne +2.7%
  • Citi US Economic Surprise Index 32.5 -2.5 points
  • Citi Eurozone Economic Surprise Index 8.6 +1.6 points
  • Citi Emerging Markets Economic Surprise Index -10.4 +2.7 points
  • 10-Year TIPS Spread 2.44 -4.0 basis points
  • 89.8%(-2.1 percentage points) chance of no change at Jan. 26th meeting, 65.4%(+2.0 percentage points) chance of no change at March 16th meeting
US Covid-19:
  • 258 new infections/100K people(last 7 days total) +7/100K people
  • 49% of Jan. 7th, 2021 peak(highest daily avg. new infections) +2.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating -60 open in Japan 
  • China A50 Futures: Indicating -52 open in China
  • DAX Futures: Indicating +15 open in Germany
Portfolio:
  • Lower: On losses in my tech/consumer discretionary/industrial/transport sector longs
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 75% Net Long

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