Monday, June 06, 2022

Stocks Finish Slightly Higher on Diminished China Bubble-Bursting Fears, Short-Covering, Technical Buying, Consumer Discretionary/Industrial Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Around Even
  • Sector Performance:  Mixed
  • Volume:  Below Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 25.4 +2.5%
  • Bloomberg Global Risk On/Risk Off Index 4,914.0 +154.0 points
  • Euro/Yen Carry Return Index 145.10 +.48%
  • Emerging Markets Currency Volatility(VXY) 12.0 unch.
  • CBOE S&P 500 Implied Correlation Index 44.3 +1.7% 
  • ISE Sentiment Index 103.0 +20.0 points
  • Total Put/Call .95 -9.5%
  • NYSE Arms .93 -33.0%
Credit Investor Angst:
  • North American Investment Grade CDS Index 82.0 +.89%
  • US Energy High-Yield OAS 365.98 -1.43%
  • Bloomberg TRACE # Distressed Bonds Traded 277.0 -15.0
  • European Financial Sector CDS Index 97.33 -.98%
  • Italian/German 10Y Yld Spread 209.0 basis points -4.0 basis point
  • Asia Ex-Japan Investment Grade CDS Index 108.11 -3.35%
  • Emerging Market CDS Index 277.43 +2.3%
  • China Corp. High-Yield Bond USD ETF(KHYB) 28.8 +.37%
  • Russia Sovereign Debt Credit Default Swap 10,195.4 n/a
  • 2-Year Swap Spread 37.5 basis points -.5 basis point
  • TED Spread 49.5 basis points +1.0 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.0 basis points -.25 basis point
  • MBS  5/10 Treasury Spread  121.0 +10.0 basis points
  • iShares CMBS ETF 48.0 -.68%
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 52.15 -.12%
  • 3-Month T-Bill Yield 1.18% +3.0 basis points
  • Yield Curve 30.5 basis points (2s/10s) +1.0 basis point
  • China Iron Ore Spot 144.55 USD/Metric Tonne +.5%
  • Citi US Economic Surprise Index -44.2 +1.4 points
  • Citi Eurozone Economic Surprise Index 16.5 +1.6 points
  • Citi Emerging Markets Economic Surprise Index 14.0 -4.3 points
  • 10-Year TIPS Spread 2.78 +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:
  • 227 new infections/100K people(last 7 days total). 13.0%(unch.) of 1/14 peak +7/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -82.9%(-.5 percentage point) from peak 7-day avg. of 1/9/21 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +115 open in Japan 
  • China A50 Futures: Indicating -115 open in China
  • DAX Futures: Indicating -45 open in Germany
Portfolio:
  • Slightly Higher:  On gains in my industrial/commodity sector longs
  • Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 25% Net Long

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