Stocks Falling Substantially Midday on Surging European/Emerging Markets/US High-Yield Debt Angst, Emerging Markets Currency Fears, Oil Decline, Financial/Energy 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) 22.36 +15.62%

• Euro/Yen Carry Return Index 139.01 +.02%

• Emerging Markets Currency Volatility(VXY) 10.92 n/a

• S&P 500 Implied Correlation 60.1 +1.36%

• ISE Sentiment Index 41.0 -34.92%

• Total Put/Call 1.0 -18.03%

• NYSE Arms 1.17 +75.91% 

Credit Investor Angst:

• North American Investment Grade CDS Index 91.98 +4.60%

• America Energy Sector High-Yield CDS Index 1,574.0 +.99%

• European Financial Sector CDS Index 79.0 +7.75%

• Western Europe Sovereign Debt CDS Index 16.83 +2.37%

• Asia Pacific Sovereign Debt CDS Index 77.52 +6.04%

• Emerging Market CDS Index 354.60 +3.64%
  

• iBoxx Offshore RMB China Corporate High Yield Index 123.44 -.15%

• 2-Year Swap Spread 10.0 -.75 basis point

• TED Spread 24.75 +.5 basis point

• 3-Month EUR/USD Cross-Currency Basis Swap -36.50 +1.5 basis points

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 69.11 -.77%
• 3-Month T-Bill Yield .22% -1.0 basis point

• Yield Curve 125.0 -4.0 basis points

• China Import Iron Ore Spot $38.30/Metric Tonne -.57%

• Citi US Economic Surprise Index -22.30 +1.5 points

• Citi Eurozone Economic Surprise Index 17.30 +1.1 points

• Citi Emerging Markets Economic Surprise Index 15.60 +3.7 basis points

• 10-Year TIPS Spread 1.50 -3.0 basis points
• # of Months to 1st Fed Rate Hike(Morgan Stanley) .88 n/a

Overseas Futures:

• Nikkei 225 Futures: Indicating -460 open in Japan 
• China A50 Futures: Indicating -289 open in China

• DAX Futures: Indicating +19 open in Germany

Portfolio: 

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

• Disclosed Trades: None

• Market Exposure: 25% Net Long