We saw weakness all day in equities on the back of the Nikkei sell off overnight. The metals also looked weak, closing down on the day after a decent morning rally. The CAD was off, and the only bright spot in our portfolio was Sugar, which closed at a new contract high.

We seem to be entering into a correlated phase of the market, when everything moves together (last March - June was another such phase). If this high correlation combines with higher volatility, we could see a difficult stretch for our portfolio. We will keep a close eye on developments...

The TNR model was neutral today, but is indicating a reversion day in ES tomorrow.

Our positions:

Contract	ctrcts	Open P/L	days on		Contract	ctrcts	Open P/L	days on
@US.P	0	$0	0		@NG.P	0	$0	0
@TY.P	0	$0	0		@KC.P	0	$0	0
@FV.P	0	$0	0		@SB.P	3	$2,990	67
@EC.P	0	$0	0		@CT.P	0	$0	0
@JY.P	0	$0	0		@GC.P	3	$10,620	78
@CD.P	2	-$300	18		@SI.P	1	$915	29
@C.P	0	$0	0		@HG.P	2	$3,450	146
@W.P	0	$0	0		@LB.P	0	$0	0
@S.P	0	$0	0		@ES	2	$3,425	28
@CL.P	0	$0	0		@YM	0	$1,120	0
@HO.P	0	$0	0		@NQ	2	$2,520	13
		Total Open Trades			$24,740
		Total Closed Trades			-$4,500
		Total			$20,240

Good luck, and have a great evening!