Stocks Falling into Final Hour on US Policy-Induced Stagflation Fears, China Virus Lockdown/Bubble Bursting Worries, Emerging Markets Debt Angst, Commodity/Software Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Modestly Higher
  

• Sector Performance:  Mixed
  

• Volume:  Below Average

• Market Leading Stocks: Outperforming
  

Equity Investor Angst:

• Volatility(VIX) 26.0 -.5%
• DJIA Intraday % Swing .85% +9.3%
  
• Bloomberg Global Risk On/Risk Off Index 4,066.0 -180.0 points

• Euro/Yen Carry Return Index 141.45 -.35%

• Emerging Markets Currency Volatility(VXY) 12.6 +2.7%

• CBOE S&P 500 Implied Correlation Index 46.3 -1.5% 

• ISE Sentiment Index 105.0 +1.0 point
  

• Total Put/Call .87 -6.5%

• NYSE Arms 1.1 -43.6%

Credit Investor Angst:

• North American Investment Grade CDS Index 91.72 -.33%
  

• US Energy High-Yield OAS 521.28 +1.3%
• Bloomberg TRACE # Distressed Bonds Traded 480.0 +21.0
  

• European Financial Sector CDS Index 130.84 +1.9%

• Italian/German 10Y Yld Spread 198.0 basis points +1.0 basis point
  

• Asia Ex-Japan Investment Grade CDS Index 157.0 +5.1%
  

• Emerging Market CDS Index 366.74 +2.8%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 26.52 -.58%
  
• Ukraine Sovereign Debt Credit Default Swap 11,977.90 +3.9%
  

• 2-Year Swap Spread 24.5 basis points -2.0 basis points
  

• TED Spread 28.75 basis points -25.75 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -18.25 basis points -1.25 basis points
  
• MBS  5/10 Treasury Spread  144.0 +5.0 basis points
  
• iShares CMBS ETF 48.05 -.26%
• Avg. Auto ABS OAS .98 +1.0 basis point
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 48.51 -.08%
• 3-Month T-Bill Yield 2.14% +15.0 basis points
  

• Yield Curve -8.5 basis points (2s/10s) -1.0 basis point
  

• China Iron Ore Spot 106.70 USD/Metric Tonne -1.1%

• Citi US Economic Surprise Index -59.2 -3.2 points

• Citi Eurozone Economic Surprise Index -48.4 -6.8 points
  

• Citi Emerging Markets Economic Surprise Index 23.7 -1.7 points

• 10-Year TIPS Spread 2.33 unch.
  
• Highest target rate probability for September 21st FOMC meeting: 61.6%(-3.5 percentage points) chance of 2.75%-3.0%. Highest target rate probability for November 2nd meeting: 46.4%(-1.2 percentage points) chance of 3.25%-3.5%.
  

US Covid-19:

• 258 new infections/100K people(last 7 days total). 15.0%(+2.0 percentage points) of 1/14 peak +27/100K people from prior report.
  
• New Covid-19 patient hospital admissions per 100K population -73.9%(+1.4 percentage points) from peak 7-day avg. of 1/9/21 - 1/15/22
  

Overseas Futures:

• Nikkei 225 Futures: Indicating +224 open in Japan 
• China A50 Futures: Indicating -53 open in China

• DAX Futures: Indicating -35 open in Germany

Portfolio:

• Higher:  On gains in my tech/industrial sector longs, index hedges and emerging market shorts
  

• Disclosed Trades:  Added to my (IWM)/(QQQ) hedges
  

• Market Exposure:  Moved to Market Neutral