Stocks Falling into Final Hour on Rising Long-Term Rates, Earnings Worries, Emerging Markets/US High-Yield Debt Angst, Biotech/Tech Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Almost Every Sector Declining
  

• Volume: Around Average

• Market Leading Stocks: Underperforming

Equity Investor Angst:

• Volatility(VIX) 14.45 +7.92%

• Euro/Yen Carry Return Index 140.06 +1.23%

• Emerging Markets Currency Volatility(VXY) 10.09 +2.13%

• S&P 500 Implied Correlation 67.28 +.73%

• ISE Sentiment Index 118.0 +45.68%

• Total Put/Call 1.01 +6.32%

• NYSE Arms .62 +3.38% 

Credit Investor Angst:

• North American Investment Grade CDS Index 63.86 +1.97%

• America Energy Sector High-Yield CDS Index 1,079.0 +.66%

• European Financial Sector CDS Index 70.66 -1.91%

• Western Europe Sovereign Debt CDS Index 24.10 -5.45%

• Asia Pacific Sovereign Debt CDS Index 60.31 -.33%

• Emerging Market CDS Index 297.33 +.57%
  

• iBoxx Offshore RMB China Corporates High Yield Index 117.86 +.08%

• 2-Year Swap Spread 25.25 +1.5 basis points

• TED Spread 27.75 +1.0 basis point

• 3-Month EUR/USD Cross-Currency Basis Swap -19.75 unch.

Economic Gauges:

• 3-Month T-Bill Yield .00% unch.

• Yield Curve 148.0 unch.

• China Import Iron Ore Spot $56.18/Metric Tonne -1.66%

• Citi US Economic Surprise Index -62.20 +4.6 points

• Citi Eurozone Economic Surprise Index 11.90 -5.3 points

• Citi Emerging Markets Economic Surprise Index -15.6 +.9 point

• 10-Year TIPS Spread 1.94 +2.0 basis points

Overseas Futures:

• Nikkei Futures: Indicating -65 open in Japan

• DAX Futures: Indicating -25 open in Germany

Portfolio: 

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

• Disclosed Trades: None

• Market Exposure: 25% Net Long