Thursday, December 30, 2021

Stocks Slightly Higher into Final Hour on Diminished US Virus Mandate/Lockdown Fears, Year-End Window Dressing, Short-Covering, Consumer Discretionary/Biotech Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line:  Substantially Higher
  • Sector Performance:  Most Sectors Rising
  • Volume:  Light
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 16.7 -1.2%
  • Bloomberg Global Risk On/Risk Off Index 3,248.0 +33.0 points
  • Euro/Yen Carry Return Index 134.26 -.16%
  • Emerging Markets Currency Volatility(VXY) 11.3 +1.2%
  • CBOE S&P 500 Implied Correlation Index 25.9 +1.8% 
  • ISE Sentiment Index 86.0  -59.0 points
  • Total Put/Call .85 -7.6%
  • NYSE Arms .65 -56.7%
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.60 +.25%
  • US Energy High-Yield OAS 386.34 +.63%
  • European Financial Sector CDS Index 55.05 -1.3%
  • Italian/German 10Y Yld Spread 135.0 +1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 77.80 -1.3%
  • Emerging Market CDS Index 188.3 -.8%
  • China Corp. High-Yield Bond USD ETF(KHYB) 32.88 +.09%
  • 2-Year Swap Spread 19.25 -.25 basis point
  • TED Spread 18.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap 1.25 +6.25 basis points
  • MBS  5/10 Treasury Spread  72.75 +4.5 basis points
  • IHS Markit CMBX BBB- 6 72.25 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 54.06 -.73%
  • 3-Month T-Bill Yield .03% -1.0 basis point
  • Yield Curve 80.5 +6.75 basis points
  • China Iron Ore Spot 121.20 USD/Metric Tonne +2.3%
  • Citi US Economic Surprise Index 20.0 unch.
  • Citi Eurozone Economic Surprise Index 28.9 +.7 point
  • Citi Emerging Markets Economic Surprise Index -2.4 +1.6 points
  • 10-Year TIPS Spread 2.60 +5.0 basis points
  • 43.5%(+3.7 percentage points) chance of no change at March 16th FOMC meeting, 28.1%(+2.4 percentage points) chance of no change at May 4th meeting
US Covid-19:
  • 620 new infections/100K people(last 7 days total) +70/100K people
  • New Covid-19 patient hospital admissions per 100K -38.3% from peak 7-day avg. of 1/3/21-1/9/21
Overseas Futures:
  • Nikkei 225 Futures: Indicating +161 open in Japan 
  • China A50 Futures: Indicating +101 open in China
  • DAX Futures: Indicating -15 open in Germany
Portfolio:
  • Slightly Higher: On gains in my consumer discretionary/medical/industrial sector longs
  • Disclosed Trades:  None
  • Market Exposure:  75% Net Long

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