Thursday, May 26, 2022

Stocks Substantially Higher into Final Hour on Less Hawkish Fed Hopes, US Dollar Weakness, Short-Covering, Consumer Discretionary/Alt Energy Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Substantially Higher
  • Sector Performance:  Almost Every Sector Rising
  • Volume:  Around Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 27.2 -4.1%
  • Bloomberg Global Risk On/Risk Off Index 4,060.0 +181.0 points
  • Euro/Yen Carry Return Index 140.27 +.27%
  • Emerging Markets Currency Volatility(VXY) 12.4 +1.8%
  • CBOE S&P 500 Implied Correlation Index 47.8 +1.5% 
  • ISE Sentiment Index 129.0 +14.0 points
  • Total Put/Call .93 +4.5%
  • NYSE Arms .94 +10.5%
Credit Investor Angst:
  • North American Investment Grade CDS Index 80.45 -3.4%
  • US Energy High-Yield OAS 406.13 -4.8%
  • European Financial Sector CDS Index 98.78 -5.8%
  • Italian/German 10Y Yld Spread 190.0 basis points -10.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 118.23 -4.1%
  • Emerging Market CDS Index 270.07 -1.7%
  • China Corp. High-Yield Bond USD ETF(KHYB) 28.8 +.44%
  • Russia Sovereign Debt Credit Default Swap 13,030.20 +2.0%
  • 2-Year Swap Spread 31.0 basis points +2.5 basis points
  • TED Spread 49.75 basis points +2.0 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -17.5 basis points +.75 basis point
  • MBS  5/10 Treasury Spread  116.0 -2.0 basis points
  • iShares CMBS ETF 48.72 -.2%
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 52.0 -.16%
  • 3-Month T-Bill Yield 1.03% -2.0 basis points
  • Yield Curve 27.5 basis points (2s/10s) +3.25 basis points
  • China Iron Ore Spot 131.75 USD/Metric Tonne +1.65%
  • Citi US Economic Surprise Index -41.2 -1.6 points
  • Citi Eurozone Economic Surprise Index 10.4 +2.3 points
  • Citi Emerging Markets Economic Surprise Index 14.5 +2.4 points
  • 10-Year TIPS Spread 2.63 +5.0 basis points
  • 0.0%(unch.) chance of no change at July 27th FOMC meeting, 0.0%(unch.) chance of no change at September 21st meeting
US Covid-19:
  • 219 new infections/100K people(last 7 days total). 13.0%(unch.) of 1/14 peak +2/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -83.2%(+.1 point) from peak 7-day avg. of 1/9/21 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +371 open in Japan 
  • China A50 Futures: Indicating +110 open in China
  • DAX Futures: Indicating +21 open in Germany
Portfolio:
  • Higher: On gains in my tech/commodity/industrial/medical sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 75% Net Long

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