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
