Stocks Falling Substantially into Final Hour on Terrorism Fears, European/Emerging Markets/US High-Yield Debt Angst, Surging Long-Term Rates, Biotech/Transport Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Almost Every Sector Declining
  

• Volume: Around Average

• Market Leading Stocks: Performing In Line

Equity Investor Angst:

• Volatility(VIX) 18.86 +18.54%

• Euro/Yen Carry Return Index 140.24 +2.52%

• Emerging Markets Currency Volatility(VXY) 10.70 -.09%

• S&P 500 Implied Correlation 57.87 +1.58%

• ISE Sentiment Index 76.0 +18.75%

• Total Put/Call 1.11 +6.73%

• NYSE Arms .65 -43.09% 

Credit Investor Angst:

• North American Investment Grade CDS Index 83.77 +2.25%

• America Energy Sector High-Yield CDS Index 1,292.0 +1.29%

• European Financial Sector CDS Index 71.12 +6.95%

• Western Europe Sovereign Debt CDS Index 17.36 +.52%

• Asia Pacific Sovereign Debt CDS Index 68.67 +.70%

• Emerging Market CDS Index 342.13 +4.85%
  

• iBoxx Offshore RMB China Corporate High Yield Index 123.91 -.11%

• 2-Year Swap Spread 8.0 +1.25 basis point

• TED Spread 21.75 +1.5 basis points

• 3-Month EUR/USD Cross-Currency Basis Swap -34.25 -17.5 basis points

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 70.76 +.75%
• 3-Month T-Bill Yield .20% -1.0 basis point

• Yield Curve 137.0 +13.0 basis points

• China Import Iron Ore Spot $40.75/Metric Tonne -.92%

• Citi US Economic Surprise Index -21.80 -4.1 points

• Citi Eurozone Economic Surprise Index 17.70 -3.5 points

• Citi Emerging Markets Economic Surprise Index 10.2 -.3 point

• 10-Year TIPS Spread 1.64 +5.0 basis points
• # of Months to 1st Fed Rate Hike(Morgan Stanley) 1.64 -.17

Overseas Futures:

• Nikkei 225 Futures: Indicating -464 open in Japan 
• China A50 Futures: Indicating -253 open in China

• DAX Futures: Indicating -125 open in Germany

Portfolio: 

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

• Disclosed Trades: None

• Market Exposure: 25% Net Long