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TODAY’S S&P 500 SET-UP - March 15, 2011


The risk management call out today is to watch the VIX.  The VIX is going to blowout into bullish long term TAIL if it closes > 22.03; that’s not something you want to mess with if it holds.  As we look at today’s set up for the S&P 500, the range is 41 points or -1.96% downside to 1271 and 1.20% upside to 1312.

MACRO DATA POINTS:

  • 7:45 a.m.: ICSC/Goldman weekly sales
  • 8:30 a.m.: Empire Manufacturing, est. 16.1, prior 15.43
  • 8:30 a.m.: Import price index, est. 0.9%, prior 1.5%
  • 9 a.m.: Total net TIC flows, est. $37.5b, prior $48.2b
  • 10 a.m.: Geithner testifies at Senate Banking Committee on housing
  • 10 a.m.: NAHB Housing Market Index, est. 17, prior 16
  • 11:30 a.m.: U.S. to sell $40b in 4-week bills
  • 2:15 p.m.: FOMC rate decision

WHAT TO WATCH:

  • Nasdaq OMX is considering making a competing bid for the New York Stock Exchange
  • Monthly charge-offs from Big 6 credit-card companies
  • Microsoft’s Internet Explorer 9 available for download today
  • Qaddafi’s forces advance as rebels request Western airstrikes
  • Clinton meets with European foreign ministers in Paris
  • Google plans to start testing mobile-payment service in stores within 4 months
  • U.S. lawmakers may propose legislation as soon as today to delay proposed debit-card “swipe” fee caps

PERFORMANCE:


As of the close yesterday we have 2 of 9 sectors positive on TRADE and 8 of 9 sectors positive on TREND.  The 2 Sectors that remain bullish on both TRADE and TREND durations are all low beta defensive sectors:

  • Healthcare (XLV)
  • Utilities (XLU)

 

  • One day: Dow (0.43%), S&P (0.60%), Nasdaq (0.54%), Russell (0.58%)
  • Month-to-date: Dow (1.91%), S&P (2.32%), Nasdaq (2.92%), Russell (3.07%)
  • Quarter/Year-to-date: Dow +3.59%, S&P +3.08%, Nasdaq +1.81%, Russell +1.85%
  • Sector Performance: - Utilities (1.32%), Consumer Discretionary (1.23%), Financials (0.91%), Industrials (0.85%), Consumer Staples (0.71%), Healthcare (0.49%), Tech (0.47%), Materials (0.37%), and Energy +0.55%

EQUITY SENTIMENT:

  • ADVANCE/DECLINE LINE: -1104 (-1098)  
  • VOLUME: NYSE 963.83 (+4.77%)
  • VIX:  21.13 +5.23% YTD PERFORMANCE: +19.04%
  • SPX PUT/CALL RATIO: 1.80 from 2.08 (-13.08%)

CREDIT/ECONOMIC MARKET LOOK:

Treasuries were stronger with relative strength in the belly.

  • TED SPREAD: 22.58 -0.913 (-3.885%)
  • 3-MONTH T-BILL YIELD: 0.09% +0.01%
  • 10-Year: 3.36 from 3.40  
  • YIELD CURVE: 2.75 from 2.76

COMMODITY/GROWTH EXPECTATION:

  • CRB: 350.61 -0.36% YTD: +5.35%  
  • Oil: 101.19 +0.03%; YTD: +6.46% (trading -2.77% in the AM)
  • COPPER: 418.65 -0.50%; YTD: -7.53% (trading -2.10% in the AM)  
  • GOLD: 1,425.45 +0.37%; YTD: -0.78% (trading -1.30% in the AM)  

COMMODITY HEADLINES FROM BLOOMBERG:

  • Commodities Tumble, Led By Oil, Copper as Japanese Quake Threatens Demand
  • Rice Prices May Slide as Global Stockpiles Poised to Reach Nine-Year High
  • Gold Declines as Some Investors Sell to Make Up for Drops by Other Assets
  • Crude Oil Drops as Loss of Demand in Japan Outweighs Middle East Tension
  • Copper in London, Shanghai Declines as Japan Says Radiation Risk Growing
  • Rubber in Tokyo Falls to Four-Month Low as Japan Quake May Derail Demand
  • Uranium Slumps 9.8% as Quake, Tsunami Cause Japan Nuclear Reactor Crisis
  • Shipping Rates Poised to Decline 30% After Two-Week Rally: Freight Markets
  • Cotton Demand Outlook Is `Very Optimistic' on China, India, Olam Predicts
  • Wheat, Corn, Soybeans Tumble as Japan's Kan Sees Further Radiation Danger
  • Copper, Aluminum Futures Trading in China May Climb on Warehousing Change
  • Japanese Earthquake Threatens Prime Minister's $175 Billion Nuclear Dream
  • Posco, SK Innovation Set to Benefit From Earthquake Disruptions in Japan
  • Japan Reduces Wheat Tender Purchase by 76% After Earthquake, Ministry Says

CURRENCIES:

  • EURO: 1.3990 +0.63% (trading -0.81% in the AM)
  • DOLLAR: 77.349 -0.56% (trading +0.84% in the AM) 

EUROPEAN MARKETS:

  • FTSE 100: (1.84%); DAX: (3.09%); CAC 40: (2.17%)
  • Bell ringer in the major Western European markets with intermediate term TREND line breaks in FTSE, DAX, and CAC
  • Russia holds up best, which is not surprising given that oil is still bullish TRADE, TREND and TAIL
  • German ZEW economic sentiment 14.1, est. 15.9

ASIAN MARKTES:

  • Nikkei (10.6%); Hang Seng (2.9%); Shanghai Composite (1.4%)
  • Nikkei blew through its long term TAIL line of support (10,219)
  • After rising yesterday, energy stocks led declines in China.
  • Australia fell 2.11% in reaction to the news from Japan; uranium miners plunged again on worries about the global prospects for the nuclear industry.
  • Hong Kong lost more than 4% by midday, recovering to close down 2.9%.

Howard Penney

Managing Director

THE HEDGEYE DAILY OUTLOOK - setup