Wednesday, June 22, 2022

Stocks Reversing Higher into Afternoon on Lower Long-Term Rates, Dollar Weakness, Short-Covering, Biotech/Homebuilding Sector Strength

Broad Equity Market Tone:

  • Advance/Decline Line: Modestly Higher
  • Sector Performance:  Mixed
  • Volume:  Around Average
  • Market Leading Stocks: Underperforming
Equity Investor Angst:
  • Volatility(VIX) 29.3 -3.1%
  • DJIA Intraday % Swing 1.70% +17.8%
  • Bloomberg Global Risk On/Risk Off Index 4,640.0 -305.0 points
  • Euro/Yen Carry Return Index 148.36 +.11%
  • Emerging Markets Currency Volatility(VXY) 12.3 +.08%
  • CBOE S&P 500 Implied Correlation Index 50.5 -.8% 
  • ISE Sentiment Index 93.0 -18.4 points
  • Total Put/Call .97 +10.2%
  • NYSE Arms 1.00 +61.3%
Credit Investor Angst:
  • North American Investment Grade CDS Index 98.92 +1.1%
  • US Energy High-Yield OAS 467.01 +4.9%
  • Bloomberg TRACE # Distressed Bonds Traded 352.0 -34.0
  • European Financial Sector CDS Index 120.08 +3.5%
  • Italian/German 10Y Yld Spread 191.0 basis points -2.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 132.32 +2.6%
  • Emerging Market CDS Index 324.50 +1.4%
  • China Corp. High-Yield Bond USD ETF(KHYB) 28.07 -.16%
  • Ukraine Sovereign Debt Credit Default Swap 8,222.03 +8.6%
  • 2-Year Swap Spread 40.25 basis points -.25 basis point
  • TED Spread 51.5 basis points -8.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -24.75 basis points -2.25 basis points
  • MBS  5/10 Treasury Spread  133.0 -3.0 basis points
  • iShares CMBS ETF 47.71 +.88%
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 50.76 -.02%
  • 3-Month T-Bill Yield 1.57% +5.0 basis points
  • Yield Curve 9.25 basis points (2s/10s) -1.25 basis points
  • China Iron Ore Spot 112.3 USD/Metric Tonne -.9%
  • Citi US Economic Surprise Index -68.2 +.1 point
  • Citi Eurozone Economic Surprise Index 28.5 -.7 point
  • Citi Emerging Markets Economic Surprise Index 24.3 unch.
  • 10-Year TIPS Spread 2.55 -7.0 basis points
  • Highest target rate probability for September 21st FOMC meeting: 56.9% chance of 2.75%-3.0%. Highest target rate probability for November 2nd meeting: 48.0% chance of 3.25%-3.5%.
US Covid-19:
  • 213 new infections/100K people(last 7 days total). 12.0%(+1.0 percentage point) of 1/14 peak +19/100K people from prior report.
  • New Covid-19 patient hospital admissions per 100K population -79.8%(+.3 percentage point) from peak 7-day avg. of 1/9/21 - 1/15/22
Overseas Futures:
  • Nikkei 225 Futures: Indicating +261 open in Japan 
  • China A50 Futures: Indicating +64 open in China
  • DAX Futures: Indicating +7 open in Germany
Portfolio:
  • Higher:  On gains in my tech/industrial/medical sector longs
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 75% Net Long

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