Wednesday, June 08, 2022

Stocks Falling into Final Hour on US Policy-Induced Stagflation Fears, Fed "Behind the Curve" Worries, European/Emerging Markets/US High-Yield Debt Angst, Transport/Financial Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Lower
  • Sector Performance:  Most Sectors Declining
  • Volume:  Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 24.4 +1.8%
  • Bloomberg Global Risk On/Risk Off Index 5,042.0 +81.0 points
  • Euro/Yen Carry Return Index 147.93 +1.27%
  • Emerging Markets Currency Volatility(VXY) 12.4 +2.2%
  • CBOE S&P 500 Implied Correlation Index 44.5 +2.4% 
  • ISE Sentiment Index 144.0 +35.0 points
  • Total Put/Call .88 -10.2%
  • NYSE Arms .67 -27.2%
Credit Investor Angst:
  • North American Investment Grade CDS Index 83.6 +2.7%
  • US Energy High-Yield OAS 373.04 -.27%
  • Bloomberg TRACE # Distressed Bonds Traded 311.0 +19.0
  • European Financial Sector CDS Index 100.08 +1.9%
  • Italian/German 10Y Yld Spread 202.0 basis points +2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 107.53 -.25%
  • Emerging Market CDS Index 286.68 +3.1%
  • China Corp. High-Yield Bond USD ETF(KHYB) 28.8 unch.
  • Russia Sovereign Debt Credit Default Swap 4,265.2 +10.6%
  • 2-Year Swap Spread 35.5 basis points -.5 basis point
  • TED Spread 40.75 basis points +1.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -14.75 basis points unch.
  • MBS  5/10 Treasury Spread  117.0 +3.0 basis points
  • iShares CMBS ETF 48.23 -.25%
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 51.66 -.42%
  • 3-Month T-Bill Yield 1.24% +1.0 basis point
  • Yield Curve 26.0 basis points (2s/10s) +2.5 basis points
  • China Iron Ore Spot 145.5 USD/Metric Tonne +.3%
  • Citi US Economic Surprise Index -42.8 +.6 point
  • Citi Eurozone Economic Surprise Index 27.4 +10.9 points
  • Citi Emerging Markets Economic Surprise Index 13.3 -1.3 points
  • 10-Year TIPS Spread 2.77 +3.0 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:
  • 233 new infections/100K people(last 7 days total). 14.0%(-1.0 percentage point) of 1/14 peak -27/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -81.4%(+1.5 percentage point) from peak 7-day avg. of 1/9/21 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating -104 open in Japan 
  • China A50 Futures: Indicating -57 open in China
  • DAX Futures: Indicating -81 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my index hedges
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  • Market Exposure:  Moved to 25% Net Long

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