Monday, March 14, 2022

Stocks Reversing Lower into Final Hour on Russia/Ukraine War Escalation Fears, China Bubble-Bursting Concerns, US Policy-Induced Stagflation Worries, Commodity/Technology 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) 33.5 +5.6%
  • Bloomberg Global Risk On/Risk Off Index 2,680.0 +20.0 points
  • Euro/Yen Carry Return Index 133.33 +1.2%
  • Emerging Markets Currency Volatility(VXY) 13.3 +2.4%
  • CBOE S&P 500 Implied Correlation Index 50.9 +5.8% 
  • ISE Sentiment Index 97.0 +4.0 points
  • Total Put/Call .95 -9.5%
  • NYSE Arms .97 -32.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 76.14 +2.0%
  • US Energy High-Yield OAS 419.62 +.58%
  • European Financial Sector CDS Index 90.92 -1.09%
  • Italian/German 10Y Yld Spread 159.0 -1.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 117.80 +5.0%
  • Emerging Market CDS Index 340.74 -1.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 28.3 -1.6% 
  • Ukraine Sovereign Debt Credit Default Swap 8,219.0 +37.8%
  • 2-Year Swap Spread 22.25 +1.75 basis points
  • TED Spread 47.0 +4.25 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -25.0 +2.25 basis points
  • MBS  5/10 Treasury Spread  113.0 +4.0 basis points
  • iShares CMBS ETF 50.54 -.37%
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 50.85 +.63%
  • 3-Month T-Bill Yield .38% unch.
  • Yield Curve 24.5 -.75 basis point
  • China Iron Ore Spot 145.5 USD/Metric Tonne -6.1%
  • Citi US Economic Surprise Index 54.6 +.3 point
  • Citi Eurozone Economic Surprise Index 59.7 -.8 point
  • Citi Emerging Markets Economic Surprise Index 35.6 -1.5 points
  • 10-Year TIPS Spread 2.96 -2.0 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:
  • 75 new infections/100K people(last 7 days total). 4.0%(-1.0 percentage point) of 1/14 peak -8/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -88.6%(-2.2 percentage points) from peak 7-day avg. of 1/9/21 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -282 open in Japan 
  • China A50 Futures: Indicating -339 open in China
  • DAX Futures: Indicating -101 open in Germany
Portfolio:
  • Slightly Higher: On gains in my index hedges and emerging market shorts
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges, then covered some
  • Market Exposure:  25% Net Long

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