Stocks Falling into Afternoon on Surging European/Emerging Market/US High-Yield Debt Angst, Global Growth Fears, Yen Strength, Transport/Financial Sector Weakness

Broad Equity Market Tone:

• Advance/Decline Line: Substantially Lower
  

• Sector Performance: Almost Every Sector Declining
  

• Volume: Below Average

• Market Leading Stocks: Underperforming

Equity Investor Angst:

• Volatility(VIX) 22.52 +13.4%

• Euro/Yen Carry Return Index 147.59 -1.03%

• Emerging Markets Currency Volatility(VXY) 10.71 -.46%

• S&P 500 Implied Correlation 71.07 +4.78%

• ISE Sentiment Index 66.0 -2.94%

• Total Put/Call 1.21 +2.54%

• NYSE Arms 1.14 -47.44% 

Credit Investor Angst:

• North American Investment Grade CDS Index 71.05 +2.45%
• America Energy Sector High-Yield CDS Index 700.0 +4.99%

• European Financial Sector CDS Index 71.48 +3.65%

• Western Europe Sovereign Debt CDS Index 28.45 +5.0%
• Asia Pacific Sovereign Debt CDS Index 74.66 +5.89%

• Emerging Market CDS Index 385.67 +1.92%

• China Blended Corporate Spread Index 359.04 +3.88%
• 2-Year Swap Spread 23.0 +.25 basis point

• TED Spread 23.50 unch.

• 3-Month EUR/USD Cross-Currency Basis Swap -14.75 +1.0 basis point

Economic Gauges:

• 3-Month T-Bill Yield .02% +1.0 basis point

• Yield Curve 132.0 -5.0 basis points

• China Import Iron Ore Spot $71.49/Metric Tonne +.87%

• Citi US Economic Surprise Index 22.80 -4.8 points
• Citi Eurozone Economic Surprise Index 10.90 -1.5 points

• Citi Emerging Markets Economic Surprise Index -13.90 +.4 point

• 10-Year TIPS Spread 1.58 -7.0 basis points

Overseas Futures:

• Nikkei Futures: Indicating -243 open in Japan

• DAX Futures: Indicating -21 open in Germany

Portfolio: 

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

• Disclosed Trades: None

• Market Exposure: 25% Net Long