Stocks Falling into Final Hour on Surging Emerging Markets/European Debt Angst, Global Growth Fears, Yen Strength, Homebuilding/Commodity Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Almost Every Sector Declining
  

• Volume: Below Average

• Market Leading Stocks: Underperforming

Equity Investor Angst:

• Volatility(VIX) 18.43 +23.77%

• Euro/Yen Carry Return Index 153.47 -.78%

• Emerging Markets Currency Volatility(VXY) 9.05 +.56%

• S&P 500 Implied Correlation 68.95 +3.34%

• ISE Sentiment Index 86.0 +26.47%

• Total Put/Call .99 -5.71%

• NYSE Arms 2.76 +146.11% 

Credit Investor Angst:

• North American Investment Grade CDS Index 68.39 +5.70% 
• America Energy Sector High-Yield CDS Index 603.0 +4.03%

• European Financial Sector CDS Index 61.50 +3.19%

• Western Europe Sovereign Debt CDS Index 29.84 +10.2%
• Asia Pacific Sovereign Debt CDS Index 65.87 +.59%

• Emerging Market CDS Index 352.44 +7.13%

• China Blended Corporate Spread Index 330.79 +.73%
• 2-Year Swap Spread 23.0 +.75 basis point

• TED Spread 21.25 -1.25 basis points

• 3-Month EUR/USD Cross-Currency Basis Swap 7.0 +2.75 basis points

Economic Gauges:

• 3-Month T-Bill Yield .03% +2.0 basis points

• Yield Curve 159.0 -1.0 basis point

• China Import Iron Ore Spot $69.14/Metric Tonne +.12%

• Citi US Economic Surprise Index 18.10 +.2 point
• Citi Eurozone Economic Surprise Index -19.40 -2.3 points

• Citi Emerging Markets Economic Surprise Index -7.1 -.6 point

• 10-Year TIPS Spread 1.71 -3.0 basis points

Overseas Futures:

• Nikkei Futures: Indicating -172 open in Japan

• DAX Futures: Indicating -52 open in Germany

Portfolio: 

• Slightly Higher: On gains in my index hedges and emerging markets shorts

• Disclosed Trades: None

• Market Exposure: 25% Net Long