Friday, December 31, 2021

Stocks Slightly Higher into Final Hour on Diminished US Virus Mandate/Lockdown Fears, Year-End Window Dressing, Dollar Weakness, Transport/Construction Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line:  About Even
  • Sector Performance:  Mixed
  • Volume:  Light
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 17.3 -.1%
  • Bloomberg Global Risk On/Risk Off Index 3,159.0 -40.0 points
  • Euro/Yen Carry Return Index 134.98 +.47%
  • Emerging Markets Currency Volatility(VXY) 11.3 +1.5%
  • CBOE S&P 500 Implied Correlation Index 28.6 +5.5% 
  • ISE Sentiment Index 125.0  +35.0 points
  • Total Put/Call .77 -8.3%
  • NYSE Arms 1.26 +35.9%
Credit Investor Angst:
  • North American Investment Grade CDS Index 49.55 -.46%
  • US Energy High-Yield OAS 387.48 -.19%
  • European Financial Sector CDS Index 54.75 -.55%
  • Italian/German 10Y Yld Spread 135.0 unch.
  • Asia Ex-Japan Investment Grade CDS Index 77.75 -.07%
  • Emerging Market CDS Index 188.0 -.12%
  • China Corp. High-Yield Bond USD ETF(KHYB) 32.94 +.06%
  • 2-Year Swap Spread 19.5 +.25 basis point
  • TED Spread 18.0 unch.
  • 3-Month EUR/USD Cross-Currency Basis Swap 3.0 +1.75 basis points
  • MBS  5/10 Treasury Spread  68.0 -4.75 basis points
  • IHS Markit CMBX BBB- 6 72.0 -.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 54.01 -.14%
  • 3-Month T-Bill Yield .03% unch.
  • Yield Curve 80.5 unch.
  • China Iron Ore Spot 121.55 USD/Metric Tonne +.1%
  • Citi US Economic Surprise Index 19.5 -.5 point
  • Citi Eurozone Economic Surprise Index 29.8 +.9 point
  • Citi Emerging Markets Economic Surprise Index -1.3 +1.1 points
  • 10-Year TIPS Spread 2.59 -1.0 basis point
  • 43.5%(unch.) chance of no change at March 16th FOMC meeting, 29.0%(+.8 percentage point) chance of no change at May 4th meeting
US Covid-19:
  • 696 new infections/100K people(last 7 days total) +76/100K people
  • New Covid-19 patient hospital admissions per 100K population -38.3% from peak 7-day avg. of 1/3/21-1/9/21
Overseas Futures:
  • Nikkei 225 Futures: Indicating +214 open in Japan 
  • China A50 Futures: Indicating +55 open in China
  • DAX Futures: Indicating -28 open in Germany
Portfolio:
  • Slightly Higher: On gains in my consumer discretionary/transport/industrial sector longs
  • Disclosed Trades:  None
  • Market Exposure:  75% Net Long

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