Last week, Bank of America Corp.’s head of U.S. equity and quantitative strategy, Savita Subramanian, said something very interesting about the S&P 500: “The S&P 500 has essentially turned int...
Last week, U.S. economic news came up a royal flush! The Biden White House went big with the introduction of a $2 trillion infrastructure plan; the Suez Canal was cleared of the gigantic Ever Given (terrible name) container ship; the BLS Non-Farm Employment numbers showed much better-than-expected job gains; and COVID-19 vaccines in U.S. continued picking up sharply.
There seem to be plenty of short-term bottlenecks rising up (like semi-conductor chip shortages in the auto industry) in the U.S. that have the Treasury market a bit spooked, as eventually they will show up in inflation readings. The Fed has stayed on message that these spikes in inflation figures will be transitory.
Meanwhile, the ridiculous Bill Hwang/Archegos total return swap explosion reverberated through the markets, exposing Nomura and Credit Suisse as the biggest losers in what is predicted to be a “contained” $10 billion vaporization of capital. When will they ever learn?!
- The S&P 500 advanced 1.1% for the week. On Thursday, the index set a new all-time high. The average daily move for the week was .49%.
- The NASDAQ rose 2.6% for the week. The average daily move for the week was 1%.
- The two-year Treasury yield increased two basis points for the week, closing at .16% on Friday.
- The 10-year Treasury yield rose six basis points for the week, closing at 1.74% on Friday.
- The VIX Index dropped 8% for the week closing at 17.33 Thursday—the lowest reading since February 21, 2020.
- The MOVE Index was increased 5.7% for the week, closing at 65 on Thursday.
- Five-year Investment Grade Corporates (as measured by Markit CDX) tightened five basis points for the week, closing at 58 basis points Friday.
- High-yield corporate debt (as measured by Markit CDX) tightened 4 basis points for the week, closing at 298 basis points on Friday.
- US Dollar Index appreciated 0.3% for the week, closing at 93.02 on Friday.
- WTI Crude rose 0.8% for the week, using the May WTI Futures contract, closing at 61.45 on Friday.
- Gold, as measured by the April 2021 futures contract, declined 0.3% for the week—closing at 1,727 on Friday.
- Bitcoin rose 11% for the week, closing at 60.101 on Friday.
The Week Ahead:
As we come in Monday, morning stocks are up sharply as the market, closed for Good Friday last week, gets to react to the better-than-expected jobs report from Friday. Europe is closed for Easter Monday.
Treasury yields continue to move in a range, with the 10-year 1.67% - 1.74%. This morning, we tested the high-end of the range and held. This week is a relatively light one for data; later today we’ll receive the ISM Services Index for March.
An index is unmanaged and not available for direct investment. Definitions sourced from Bloomberg.
- The Bloomberg Barclays Global Aggregate Negative Yielding Debt Market Value Index represents the portion of the Bloomberg Barclays Global Aggregate Index that measures the aggregate value of global debt with a negative yield.
- The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.
- The NASDAQ Composite Index is a broad-based capitalization-weighted index of stocks in all three NASDAQ tiers: Global Select, Global Market and Capital Market. The index was developed with a base level of 100 as of February 5, 1971.
- The Cboe Volatility Index® (VIX) is a calculation designed to produce a measure of constant, 30-day expected volatility of the US stock market, derived from real-time, mid-quote prices of weekly S&P 500® Index (SPX) call and put options with a range of 23 to 37 days to expiration.
- The ICE BofA MOVE Index is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options. It is the weighted average of implied volatilities on the CT2 (Current 2 Year Government Note), CT5 (Current 5 Year Government Note), CT10 (Current 10 Year Government Note), and CT30 (Current 30 Year Government Note), with weights 0.2/0.2/0.4/0.2 respectively.
- The Markit CDX North America Investment Grade Index is composed of 125 equally weighted credit default swaps on investment grade entities, distributed among 6 sub-indices: High Volatility, Consumer, Energy, Financial, Industrial, and Technology, Media & Tele-communications. Markit CDX indices roll every 6 months in March & September.
- The Markit CDX North America High Yield Index is composed of 100 non-investment grade entities, distributed among 2 sub-indices: B, BB. All entities are domiciled in North America. Markit CDX indices roll every 6 months in March & September.
- The U.S. Dollar Index (USDX) indicates the general international value of the USD. The USDX does this by averaging the exchange rates between the USD and major world currencies. Intercontinental Exchange (ICE) US computes this by using the rates supplied by some 500 banks.
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