Friday, April 01, 2022

Stocks Slightly Higher into Afternoon on Pullback in Inflation Expectations, Yen Weakness, Technical Buying, Metals & Mining/Healthcare Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line:  Slightly Higher
  • Sector Performance:  Mixed
  • Volume:  Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 20.5 -.2%
  • Bloomberg Global Risk On/Risk Off Index 4,250.0 +2.0 points
  • Euro/Yen Carry Return Index 139.5 +.5%
  • Emerging Markets Currency Volatility(VXY) 11.3 -1.3%
  • CBOE S&P 500 Implied Correlation Index 36.9 +2.6% 
  • ISE Sentiment Index 97.0 +4.0 points
  • Total Put/Call 1.0 +5.2%
  • NYSE Arms .83 -68.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 66.39 -.34%
  • US Energy High-Yield OAS 348.84 -1.5%
  • European Financial Sector CDS Index 81.4 +.5%
  • Italian/German 10Y Yld Spread 154.0 +5.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 101.8 +1..6%
  • Emerging Market CDS Index 227.64 +.85%
  • China Corp. High-Yield Bond USD ETF(KHYB) 29.6 +.01% 
  • Ukraine Sovereign Debt Credit Default Swap 2,873.41 +2.9%
  • 2-Year Swap Spread 20.25 -1.0 basis point
  • TED Spread 45.5 -4.5 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -20.75 +1.0 basis point
  • MBS  5/10 Treasury Spread  111.0 +1.0 basis point
  • iShares CMBS ETF 49.70 -.10%
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 53.57 -.36%
  • 3-Month T-Bill Yield .51% +1.0 basis point
  • Yield Curve -5.5 -7.5 basis points
  • China Iron Ore Spot 159.8 USD/Metric Tonne -1.0%
  • Citi US Economic Surprise Index 46.5 -8.9 points
  • Citi Eurozone Economic Surprise Index 32.2 -12.6 points
  • Citi Emerging Markets Economic Surprise Index 37.2 -2.2 points
  • 10-Year TIPS Spread 2.83 -7.0 basis points
  • 0.0%(unch.) chance of no change at June 15th FOMC meeting, 0.0%(unch.) chance of no change at July 27th meeting
US Covid-19:
  • 64 new infections/100K people(last 7 days total). 4.0%(unch.) of 1/14 peak +1/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -92.7%(unch.) from peak 7-day avg. of 1/9/21 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +105 open in Japan 
  • China A50 Futures: Indicating -17 open in China
  • DAX Futures: Indicating +18 open in Germany
Portfolio:
  • Slightly Higher: On gains in my commodity/medical sector longs
  • Disclosed Trades:  None
  • Market Exposure:  50% Net Long

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