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TODAY’S S&P 500 SET-UP - February 17, 2011

Equity futures are trading just below fair value following Wednesday's bounce following positive earnings from DELL and perceived MACRO trends. Political unrest in Bahrain and Lybia are center stage.  As we look at today’s set up for the S&P 500, the range is 15 points or -0.92% downside to 1324 and 0.20% upside to 1339.


  • 8:30 a.m.: Consumer price index, Jan., M/m est. 0.3%, prior 0.4% (ex food and energy est. 0.1%, prior 0.1%)
  • 8:30 a.m.: Net export sales (cotton, corn, soybeans, soy meal), Feb. 10
  • 8:30 a.m.: Initial jobless claims, Feb. 12, est. 400k, prior 383k; continuing claims, Feb. 5, est. 3893k, prior 3888k
  • 9:45 a.m.: Bloomberg Consumer Comfort Index, est. -43.0, prior -46.0
  • 10 a.m.: Mortgage delinquencies, 4Q, prior 9.1%
  • 10 a.m.: MBA mortgage foreclosures, 4Q, prior 4.39%
  • 10 a.m.: Leading indicators, Jan., est. 0.2%, prior 1%
  • 10 a.m. Philadelphia Fed., Feb., est. 21, prior 19.3
  • 10 a.m.: Bernanke, Bair, Schapiro testify on Dodd-Frank implementation
  • 10 a.m.: Fed’s Raskin testify on debit fees
  • 10 a.m.: Treasury’s Geithner Testifies to Senate budget committee
  • 10:30 a.m.: EIA natural gas storage change
  • 12 p.m.: Fed’s Lockhart speaks on Ireland and U.S. in Atlanta
  • 12:30 p.m.: Fed’s Evans speaks on economy in Rockford, Illinois
  • 1 p.m.: U.S. sells $9b 30-yr TIPS
  • 1:10 p.m.: Fed’s Fisher speaks in Houston on Fed, economy


  • Fed ordered the 19 largest U.S. banks to test their capital levels against a scenario of renewed recession with unemployment rising above 11%, two people with knowledge of the review told Bloomberg
  • Apple’s Steve Jobs, Facebook’s Mark Zuckerberg, and Google’s Eric Schmidt are among executives meeting with President Barack Obama in San Francisco area today to discuss economy and job creation, according to person familiar with the private session
  • Bain Capital is weighing a sale or IPO of FCI, a French maker of electrical connectors valued at about EU1.6b, three people with knowledge of the matter say
  • KB Home may spend $600m-$700m on new land, mostly in Texas and California, this year as it expands its community count, CEO Jeffrey Mezger says
  • Samsung Electronics may take decision on developing TVs with Google software in 1H, Samsung’s TV unit head says
  • Aveo Pharmaceuticals (AVEO) will develop; commercialize cancer drug tivozanib with Astellas (ALPMY) outside of Asia. Aveo to get initial payment of $125m; $1.3b in milestone possible
  • Avis Budget Group (CAR) reported 4Q rev. $1.23b vs est. $1.19b
  • CBS Corp. (CBS) reported 4Q adj. EPS 46c vs est. 43c
  • Cliffs Natural Resources (CLF) reported 4Q EPS $2.82 vs est. $2.22
  • Express Scripts (ESRX) reported 4Q rev. $11.3b vs est. $11.6b
  • Itron (ITRI) forecast 2011 adj. EPS $3.95-$4.40 vs est. $4.41
  • NetApp (NTAP) forecast 4Q adj. EPS 49c-53c vs est. 54c
  • Peet’s Coffee & Tea (PEET) reported 4Q rev. $91.6m vs est. $95.2m
  • Rubicon Technology (RBCN) forecast 1Q rev. $34m-$36m vs est. $30.8m, EPS 62c-65c vs est. 50c
  • Skechers U.S.A. (SKX) reported 4Q EPS 7c vs est. 13c
  • Synopsys (SNPS) forecast 2Q adj. EPS 43c-45c vs est. 43c
  • Williams (WMB) said it plans to split infrastructure unit from exploration & production, boosts dividend by 60% to 20c


We have 8 of 9 sectors positive on TRADE and 9 of 9 sectors positive on TREND.

  • One day: Dow +0.50%, S&P +0.63%, Nasdaq +0.76%, Russell 2000 +1.02%
  • Month-to-date: Dow +3.33%, S&P +3.90%, Nasdaq +4.65%, Russell +6.03%
  • Quarter/Year-to-date: Dow +6.14%, S&P +6.26%, Nasdaq +6.51%, Russell +5.71%
  • Sector Performance: - Energy +1.33%, Materials +1.29%, Consumer Disc +0.81%, Tech +0.55%, Financials +0.54%, Healthcare +0.52%, Industrials +0.48%, Consumer Spls +0.27%, Utilities (0.22%).


  • ADVANCE/DECLINE LINE: 1503 (+2196)  
  • VOLUME: NYSE 928.97 (+0.05%)
  • VIX:  16.72 +2.14% YTD PERFORMANCE: -5.80%
  • SPX PUT/CALL RATIO: 1.88 from 1.79 (+5.05%)


Treasuries were weaker today with some of the adverse takeaways from the economic calendar offsetting continued geopolitical concerns in the Middle East.

  • TED SPREAD: 20.80 +0.101 (0.490%)
  • 3-MONTH T-BILL YIELD: 0.13%
  • 10-Year: 3.62 from 3.61
  • YIELD CURVE: 2.76 from 2.77


  • CRB: 338.21 +0.57%; YTD: +1.62%  
  • Oil: 84.54 +0.79%; YTD: -8.33% (trading -0.47% in the AM)
  • COPPER: 443.75 -1.40%; YTD: -0.05% (trading -0.99% in the AM)  
  • GOLD: 1,377.05 +0.17%; YTD: -2.89% ( trading +0.17% in the AM)  


  • Cotton Rises Above $2 for First Time as Supply Tightens on Chinese Demand
  • Copper Falls to Two-Week Low on Stockpiles; Tin Slides Most Since November
  • Brent Oil Near Two-Year High as Protests Spread Across Middle East, Africa
  • Pan Pacific, Tongling Win Copper Fee Hike in Change to Six-Month Contract
  • Drought-Hit Wheat in China to Recover Even as Some Losses `Irreversible'
  • Tin Output From Indonesia May Extend Slump on Rains, Executive Forecasts
  • Gold Demand Rose 11% in Quarter on Jewelry, Investment, Gold Council Says
  • Food Prices to Rally, Soybeans May Outperform, Standard Chartered Predicts
  • Coffee Rises on Speculation Weather to Hurt Crops in Brazil and Colombia
  • Wheat Rebounds as China Drought May Curb Output, Boost Demand for Imports
  • Gold Imports by India Advance to Record on Jewelry Demand, Price Outlook
  • Palm Oil Drops for Third Day on Speculation Prices May Have Reached a Peak
  • India Food Inflation Slows to Two-Month Low as Winter Harvest Aids Supply
  • Rusal Trails Alcoa as Oligarch Delivers $12.8 Billion Snub to Shareholdersn.


  • EURO: 1.3547 +0.21% (trading +0.06% in the AM)
  • DOLLAR: 78.223 -0.45% (trading +0.04% in the AM) 


  • FTSE 100: (0.08%); DAX: +0.04%; CAC 40: (0.03%) (as of 06:00 EST)
  • European markets trade mixed, having fluctuated either side of unchanged, with earnings in the spotlight.
  • Indices, close to 30 month highs, appear on hold with unrest in Bahrain raising the possibility of further political contagion across the region
  • The Bank of England's latest economic forecasts underestimate upside risks to inflation, and interest rates need to rise faster than markets expect to bring it back to target, according to Andrew Sentance. "My judgement is that the upside risks to inflation are understated in the published fan charts. And monetary policy would most likely need to be tightened faster and by more than the markets currently expect to bring inflation back to target," says Sentence "The value of the pound on the foreign exchanges therefore needs to be one of the key areas of focus for the MPC as we seek to steer ourselves out of the current phase of high inflation," he said.
  • Spain's treasury sells €2.47B 2020 bond, bond average yield 5.200% vs 5.446% last auction
  • There are no major MACRO data points


  • Nikkei +0.26%; Hang Seng +0.63%; Shanghai Composite +0.10%
  • Asian markets were mixed tending up today, with markets getting a boost from positive sentiment generated by US performance.
  • Financials and energy companies led the rise in Hong Kong.
  • China announced new rules to curb speculative home purchases, causing China Resources Land and China Overseas Land & Investment to fall 2% each.
  • Profit-taking limited the advance in Japan.
  • Positive earnings from Qantas and Santos allowed Australia to finish with a slight gain of 0.17%. Qantas rose 5%, and Santos rose 3%.
  • China was flat after property shares fell 2-3% on new rules restricting speculative home purchases. Higher steel prices took steelmakers like Inner Mongolian Baotou Steel Union up by the 10% daily limit.
  • Taiwan fell -0.33%, but Acer edged up on announcing a $500M contract with Suning Appliance.
  • South Korea declined -0.60% after opening gains spurred by Dell’s earnings, falling to a loss as people took profits in shipbuilders and construction companies.
  • Japan February tankan manufacturing index +14 vs +11 prior. February tankan non-manufacturing index +3 vs (2) prior. December composite index of coincident economic indicators revised to 103.5, +1.1 points m/m, vs preliminary 103.1.

Howard Penney

Managing Director