Stocks Rebounding into Final Hour on Less Emerging Markets Debt Angst, Short-Covering, Yen Weakness, Financial/Biotech Sector Strength

Broad Equity Market Tone:

• Advance/Decline Line: Higher
  

• Sector Performance: Most Sectors Rising
  

• Volume: Slightly Below Average

• Market Leading Stocks: Performing In Line

Equity Investor Angst:

• Volatility(VIX) 18.22 -12.22%

• Euro/Yen Carry Return Index 143.21 +.53%

• Emerging Markets Currency Volatility(VXY) 9.87 -4.27%

• S&P 500 Implied Correlation 60.33 -2.99%

• ISE Sentiment Index 147.0 +50.0%

• Total Put/Call 1.05 +31.25%

• NYSE Arms .77 -76.45% 

Credit Investor Angst:

• North American Investment Grade CDS Index 72.71 -2.45%

• European Financial Sector CDS Index 101.20 -2.25%

• Western Europe Sovereign Debt CDS Index 55.68 +1.24%
• Asia Pacific Sovereign Debt CDS Index 115.71 -3.06%

• Emerging Market CDS Index 332.06 -4.12%

• 2-Year Swap Spread 13.25 unch.

• TED Spread 18.50 -3.0 basis points

• 3-Month EUR/USD Cross-Currency Basis Swap -6.0 +.75 basis point

Economic Gauges:

• 3-Month T-Bill Yield .05% +3.0 basis points

• Yield Curve 231.0 +3.0 basis points

• China Import Iron Ore Spot $122.60/Metric Tonne unch.

• Citi US Economic Surprise Index 31.10 -1.5 points

• Citi Emerging Markets Economic Surprise Index 11.0 -2.0 points

• 10-Year TIPS Spread 2.12 -1.0 basis point

Overseas Futures:

• Nikkei Futures: Indicating +329 open in Japan

• DAX Futures: Indicating +19 open in Germany

Portfolio: 

• Slightly Lower: On losses in my index hedges and emerging markets shorts

• Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges

• Market Exposure: Moved to 50% Net Long