Stocks Falling Substantially into Final Hour on Japan Carry Trade Unwind, Mid-East Regional War Fears, VP Harris "Poll Gains", Tech/Alt Energy Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Every Sector Declining
  

• Volume: Heavy

• Market Leading Stocks: Performing In Line
  

Equity Investor Angst:

• Volatility(VIX) 34.4 +46.4%
• DJIA Intraday % Swing 1.40 -21.1%
  
• Bloomberg Global Risk On/Risk Off Index 26.2 -33.0%

• Euro/Yen Carry Return Index 173.5 -1.3%

• Emerging Markets Currency Volatility(VXY) 9.0 +9.8%

• CBOE S&P 500 Implied Correlation Index 32.0 +37.6% 

• ISE Sentiment Index 101.0 -16.0
  

• Total Put/Call 1.30 +11.1%

• NYSE Arms .94 -39.0%
  
• NYSE Non-Block Money Flow -$303.9M 
  

Credit Investor Angst:

• North American Investment Grade CDS Index 61.8 +6.3%
  

• US Energy High-Yield OAS 353.4 +5.3%
• Bloomberg TRACE # Distressed Bonds Traded 274 +14
  

• European Financial Sector CDS Index 74.4 +4.5%
  
• Deutsche Bank Subordinated 5Y Credit Default Swap 195.2 +6.5%
  

• Italian/German 10Y Yld Spread 149.0 basis points +3.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 104.4 +5.3%
  

• Emerging Market CDS Index 188.2 +3.0%
  
• Israel Sovereign CDS 141.0 +1.4%
  

• China Corp. High-Yield Bond USD ETF(KHYB) 24.7 -1.1%

• 2-Year SOFR Swap Spread -18.5 basis points unch.
  

• Treasury Repo 3M T-Bill Spread -11.5 basis points +4.0 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -.5 basis point
  
• MBS  5/10 Treasury Spread 138.0 +4.0 basis points
  
• Bloomberg CMBS Investment Grade Bbb Average OAS 690.0 +2.0 basis points
  
• Avg. Auto ABS OAS 62.0 unch.
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 38.9 -.23%
• 3-Month T-Bill Yield 5.21% +3.0 basis points
  

• China Iron Ore Spot 104.4 USD/Metric Tonne +.6%
• Dutch TTF Nat Gas(European benchmark) 35.5 euros/megawatt-hour -3.1%

• Citi US Economic Surprise Index -39.1 +1.5 points

• Citi Eurozone Economic Surprise Index -55.9 -6.2 points

• Citi Emerging Markets Economic Surprise Index -4.0 +1.0 point
• S&P 500 Current Quarter EPS Growth Rate YoY(378 of 500 reporting) +11.2% +.2 percentage point
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 263.58 +.10:  Growth Rate +15.4% unch., P/E 19.8 -.5
  
• S&P 500 Current Year Estimated Profit Margin 12.77% -1.0 basis point
  
• NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +25.9% unch.
  
• NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 340.49 +2.00: Growth Rate +26.9% +.7 percentage point, P/E 30.0 -1.4
  
• Bloomberg US Financial Conditions Index .16 -40.0 basis points
  
• Bloomberg Euro-Zone Financial Conditions Index .22 -29.0 basis points
  
• US Yield Curve -11.5 basis points (2s/10s) -2.5 basis points
  
• US Atlanta Fed 3Q GDPNow Forecast +2.55% unch.
  
• US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 72.9% +7.5 percentage points
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +2.73% unch.: CPI YoY +3.01% unch.
  
• 10-Year TIPS Spread 2.07 +4.0 basis points
  
• Highest target rate probability for Nov. 7th FOMC meeting: 48.9%(-.9 percentage point) chance of 4.25%-4.5%. Highest target rate probability for Dec. 18th meeting: 47.9%(+.1 percentage points) chance of 4.0%-4.25%.
  

Overseas Futures:

• Nikkei 225 Futures: Indicating +1,640 open in Japan 
• China A50 Futures: Indicating +28 open in China

• DAX Futures: Indicating +73 open in Germany

Portfolio:

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

• Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  

• Market Exposure: Moved to Market Neutral