Finally, one other tidbit that may or may not be of interest. I like to look into the internals of the markets, and in early August, the ratio of stocks in the Russell 3000 with historical volatility >60/

Oh, and no, I don’t have a composite indicator… I work more by “feel.” Different indicators are more important in different cycles. I suspect that CDS spreads and FX may be more critical in this one.

Where would one find the ratio of stocks in the Russell 3000 with historical volatility >60? Sounds interesting.

Great post on liquidity. My short-term stock trading canary in the coalmine is the the smallcap Russel value vs. Russel growth index. In the intermediate term, I look at the emerging markets currencies (not the stock prices) as my experience has shown the speculative curriencies to be superb leading indicators (granted my experience is only a few years, but I am an adaptive kind of guy). Notice how hard the Brazilian Real sold off in May of last year. The fact that it hardly corrected at all during pullbacks in September and January gave me the conviction to aggressively buy the dips.

Are there any other indicators you look at besides credit spreads, CDS and option premiums? Have you ever tried to create a composite risk appetite model?

Finally, one other tidbit that may or may not be of interest. I like to look into the internals of the markets, and in early August, the ratio of stocks in the Russell 3000 with historical volatility >60/