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
SOURCE: BETWEEN THE HEDGES – Read entire story here.
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Stocks Sharply Higher into Final Hour on Dollar Weakness, Short-Covering, Technical Buying, Energy/Healthcare Sector Strength
