Stocks Falling Sharply into Final Hour on Earnings Outlook Jitters, US Election Credibility Concerns, Higher Long-Term Rates, Tech/Consumer Discretionary 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) 17.5 +18.6%
• DJIA Intraday % Swing .77 +53.3%
  
• Bloomberg Global Risk On/Risk Off Index 53.6 -3.0%

• Euro/Yen Carry Return Index 183.5 -1.2%

• Emerging Markets Currency Volatility(VXY) 7.5 +1.9%

• CBOE S&P 500 Implied Correlation Index 15.4 +33.2% 

• ISE Sentiment Index 146.0 +12.0
  

• Total Put/Call .95 unch.

• NYSE Arms .82 -31.7%
  
• NYSE Non-Block Money Flow -$320.8M 
  

Credit Investor Angst:

• North American Investment Grade CDS Index 51.3 +3.3%
  

• US Energy High-Yield OAS 270.7 +3.2%
• Bloomberg TRACE # Distressed Bonds Traded 247 +6
  

• European Financial Sector CDS Index 62.3 +1.8%
  
• Deutsche Bank Subordinated 5Y Credit Default Swap 161.4 +4.6%
  

• Italian/German 10Y Yld Spread 135.0 basis points +7.0 basis points
  

• Asia Ex-Japan Investment Grade CDS Index 95.4 +1.5%
  

• Emerging Market CDS Index 169.0 +3.2%
  
• Israel Sovereign CDS 128.0 unch.
  

• China Corp. High-Yield Bond USD ETF(KHYB) 25.0 unch.

• 2-Year SOFR Swap Spread -14.75 basis points +4.0 basis points
  

• Treasury Repo 3M T-Bill Spread -1.25 basis points -1.75 basis points
  

• 3-Month EUR/USD Cross-Currency Basis Swap -1.0 -.25 basis point
  
• MBS  5/10 Treasury Spread 146.0 +2.0 basis points
  
• Bloomberg CMBS Investment Grade Bbb Average OAS 688.0 -2.0 basis points
  
• Avg. Auto ABS OAS 61.0 +1.0 basis point
  

Economic Gauges:

• Bloomberg Emerging Markets Currency Index 39.1 -.1%
• 3-Month T-Bill Yield 5.31% +1.0 basis point
  

• China Iron Ore Spot 100.0 USD/Metric Tonne -.9%
• Dutch TTF Nat Gas(European benchmark) 32.6 euros/megawatt-hour +3.2%

• Citi US Economic Surprise Index -35.1 -4.0 points

• Citi Eurozone Economic Surprise Index -45.7 -19.0 points

• Citi Emerging Markets Economic Surprise Index -.5 +.3 point
• S&P 500 Current Quarter EPS Growth Rate YoY(133 of 500 reporting) +7.6% +.6 percentage point
  
• S&P 500 Blended Forward 12 Months Mean EPS Estimate 262.34 +.07:  Growth Rate +14.9% unch., P/E 20.8 -.5
  
• S&P 500 Current Year Estimated Profit Margin 12.80% +1.0 basis point
  
• NYSE FANG+ Current Quarter EPS Growth Rate YoY(3 of 10 reporting) +19.8% -14.0 percentage points
  
• NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 335.52 +.21: Growth Rate +25.1% +.1 percentage point, P/E 32.8 -1.8
  
• Bloomberg US Financial Conditions Index .93 +10.0 basis points
  
• Bloomberg Euro-Zone Financial Conditions Index .82 +10.0 basis points
  
• US Yield Curve -14.0 basis points (2s/10s) +10.5 basis points
  
• US Atlanta Fed 2Q GDPNow Forecast +2.73% unch.
  
• US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 60.3% +2.3 percentage points
  

• Cleveland Fed Inflation Nowcast Core PCE YoY +2.39% unch.: CPI YoY +3.01% unch.
  
• 10-Year TIPS Spread 2.28 unch.
  
• Highest target rate probability for Sept. 18th FOMC meeting: 91.4%(-.8 percentage point) chance of 5.0%-5.25%. Highest target rate probability for Nov. 7th meeting: 56.5%(+1.6 percentage points) chance of 4.75%-5.0%.
  

Overseas Futures:

• Nikkei 225 Futures: Indicating -915 open in Japan 
• China A50 Futures: Indicating -36 open in China

• DAX Futures: Indicating -58 open in Germany

Portfolio:

• Lower:  On losses in my tech/industrial/consumer discretionary sector longs
  

• Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
  

• Market Exposure: Moved to 25% Net Long