Stocks Falling into Final Hour on Fed Taper Fears, Yen Strength, Profit-Taking, Financial/Healthcare Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Lower
  

• Sector Performance: Most Sectors Declining
  

• Volume: Below Average

• Market Leading Stocks: Performing In Line

Equity Investor Angst:

• Volatility(VIX) 15.30 +4.08%

• Euro/Yen Carry Return Index 145.07 unch.

• Emerging Markets Currency Volatility(VXY) 9.20 +.46%

• S&P 500 Implied Correlation 52.90 -2.74%

• ISE Sentiment Index 139.0 +15.83%

• Total Put/Call .77 -12.60%

• NYSE Arms 1.05 +74.74% 

Credit Investor Angst:

• North American Investment Grade CDS Index 72.10 +1.89%

• European Financial Sector CDS Index 102.62 +3.09%

• Western Europe Sovereign Debt CDS Index 60.0 -2.65%

• Emerging Market CDS Index 299.27 -1.98%

• 2-Year Swap Spread 9.0 -.75 basis point

• TED Spread 19.0 unch.

• 3-Month EUR/USD Cross-Currency Basis Swap -1.0 +1.75 basis points

Economic Gauges:

• 3-Month T-Bill Yield .05% unch.

• Yield Curve 257.0 +2 basis points

• China Import Iron Ore Spot $139.50/Metric Tonne -.14%
  

• Citi US Economic Surprise Index 16.50 +11.2 points

• Citi Emerging Markets Economic Surprise Index -13.80 -1.6 points

• 10-Year TIPS Spread 2.13 unch.

Overseas Futures:

• Nikkei Futures: Indicating -57 open in Japan

• DAX Futures: Indicating -3 open in Germany

Portfolio: 

• Slightly Higher: On gains in my tech sector longs and emerging markets shorts

• Disclosed Trades: None

• Market Exposure: 25% Net Long