Thursday, February 24, 2022

Stocks Reversing Higher into Final Hour on Weak Sanctions on Russia, Lower Long-Term Rates, Short-Covering, Tech/Consumer Discretionary Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line:  Lower
  • Sector Performance: Mixed
  • Volume:  Heavy
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 32.9 +6.1%
  • Bloomberg Global Risk On/Risk Off Index 2,619.0 -260.0 points
  • Euro/Yen Carry Return Index 133.14 -.57%
  • Emerging Markets Currency Volatility(VXY) 10.6 +17.2%
  • CBOE S&P 500 Implied Correlation Index 49.6 -1.8% 
  • ISE Sentiment Index 93.0 +2.0 points
  • Total Put/Call .99 +4.2%
  • NYSE Arms 1.05 +6.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 70.10 -.40%
  • US Energy High-Yield OAS 434.19 +2.3%
  • European Financial Sector CDS Index 83.83 +3.5%
  • Italian/German 10Y Yld Spread 165.0 -6.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 108.50 +6.0%
  • Emerging Market CDS Index 263.67 +6.9%
  • China Corp. High-Yield Bond USD ETF(KHYB) 30.77 -1.0% 
  • Ukraine Sovereign Debt Credit Default Swap 1,041.31 +15.5%
  • 2-Year Swap Spread 18.5 -1.5 basis points
  • TED Spread 20.75 +6.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -23.75 -5.25 basis points
  • MBS  5/10 Treasury Spread  107.0 +1.0 basis point
  • iShares CMBS ETF 51.24 +.12%
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 53.40 -1.63%
  • 3-Month T-Bill Yield .28% -7.0 basis points
  • Yield Curve 37.0 -4.0 basis points
  • China Iron Ore Spot 137.70 USD/Metric Tonne +.3%
  • Citi US Economic Surprise Index 31.1 -.3 point
  • Citi Eurozone Economic Surprise Index 64.1 -1.1 points
  • Citi Emerging Markets Economic Surprise Index 37.2 -.9 point
  • 10-Year TIPS Spread 2.60 +6.0 basis points
  • 0.0%(unch.) chance of no change at May 4th FOMC meeting, 0.0%(unch.) chance of no change at June 15th meeting
US Covid-19:
  • 170 new infections/100K people(last 7 days total). 10.0%(-1.0 percentage point) of 1/14 peak -16/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -72.0%(-1.4 percentage points) from peak 7-day avg. of 1/9/21 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +120 open in Japan 
  • China A50 Futures: Indicating +16 open in China
  • DAX Futures: Indicating +157 open in Germany
Portfolio:
  • Higher: On gains in my tech/consumer discretionary/industrial/medical sector longs and emerging market shorts
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges and emerging market shorts
  • Market Exposure:  Moved to 75% Net Long

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