Stocks Sharply Lower into Final Hour on Surging Eurozone/US High-Yield Debt Angst, Emerging Markets Currency Worries, Earnings Outlook Concerns, Homebuilding/Financial Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Every Sector Declining
  

• Volume: Slightly Below Average

• Market Leading Stocks: Underperforming

Equity Investor Angst:

• Volatility(VIX) 17.29 +7.78%

• Euro/Yen Carry Return Index 138.17 +.21%

• Emerging Markets Currency Volatility(VXY) 10.61 -.47%

• S&P 500 Implied Correlation 57.21 +1.71%

• ISE Sentiment Index 114.0 +86.89%

• Total Put/Call 1.13 +31.40%

• NYSE Arms 1.40 -1.36% 

Credit Investor Angst:

• North American Investment Grade CDS Index 82.89 +2.7%

• America Energy Sector High-Yield CDS Index 1,146.0 +1.91%

• European Financial Sector CDS Index 73.66 +5.01%

• Western Europe Sovereign Debt CDS Index 20.21 +4.82%

• Asia Pacific Sovereign Debt CDS Index 69.64 +1.18%

• Emerging Market CDS Index 326.11 +.06%
  

• iBoxx Offshore RMB China Corporate High Yield Index 123.68 unch.

• 2-Year Swap Spread 10.25 +.5 basis point

• TED Spread 23.0 +.25 basis point

• 3-Month EUR/USD Cross-Currency Basis Swap -40.0 -.5 basis point

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 70.88 -.38%
• 3-Month T-Bill Yield .13% unch.

• Yield Curve 144.0 -2.0 basis points

• China Import Iron Ore Spot $47.81/Metric Tonne -1.59%

• Citi US Economic Surprise Index .5 -.5 point

• Citi Eurozone Economic Surprise Index 23.4 -.4 point

• Citi Emerging Markets Economic Surprise Index -3.20 -.2 point

• 10-Year TIPS Spread 1.57 -1.0 basis point
• # of Months to 1st Fed Rate Hike(Morgan Stanley) 2.98 n/a

Overseas Futures:

• Nikkei 225 Futures: Indicating -173 open in Japan 
• China A50 Futures: Indicating -150 open in China

• DAX Futures: Indicating -25 open in Germany

Portfolio: 

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

• Disclosed Trades: None

• Market Exposure: 25% Net Long