Stocks Dropping into Final Hour on Rising Long-Term Rates, Rising Emerging Markets Debt Angst, Fed Taper Worries, REIT/Commodities Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Lower
  

• Sector Performance: Most Sectors Declining
  

• Volume: Below Average

• Market Leading Stocks: Underperforming

Equity Investor Angst:

• Volatility(VIX) 13.41 +.15%

• Euro/Yen Carry Return Index 140.05 -.92%

• Emerging Markets Currency Volatility(VXY) 8.54 +.95%

• S&P 500 Implied Correlation 33.41 n/a

• ISE Sentiment Index 126.0 -18.18%

• Total Put/Call .96 +18.52%

• NYSE Arms 1.08 +7.71% 

Credit Investor Angst:

• North American Investment Grade CDS Index 72.74 -.01%

• European Financial Sector CDS Index 106.16 -2.77%

• Western Europe Sovereign Debt CDS Index 62.33 -.26%

• Emerging Market CDS Index 298.67 +2.13%

• 2-Year Swap Spread 10.50 -.75 basis point

• TED Spread 16.25 -.5 basis point

• 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -.5 basis point

Economic Gauges:

• 3-Month T-Bill Yield .08% +1 basis points

• Yield Curve 252.0 +10 basis points

• China Import Iron Ore Spot $136.40/Metric Tonne +.07%

• Citi US Economic Surprise Index 6.90 +1.7 points

• Citi Emerging Markets Economic Surprise Index -14.90 -1.0 point

• 10-Year TIPS Spread 2.17 -2 basis points

Overseas Futures:

• Nikkei Futures: Indicating +96 open in Japan

• DAX Futures: Indicating -51 open in Germany

Portfolio: 

• Higher: On gains in my biotech sector longs, emerging markets shorts and index hedges

• Disclosed Trades: None

• Market Exposure: 25% Net Long