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TODAY’S S&P 500 SET-UP – January 11, 2012


As we look at today’s set up for the S&P 500, the range is 25 points or -1.48% downside to 1273 and 0.46% upside to 1298. 

 

SECTOR AND GLOBAL PERFORMANCE

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EQUITY SENTIMENT:


TREASURIES – literally the only major leading indicator in our macro model that has not yet confirmed bullish immediate-to-intermediate-term slopes of growth and inflation readings. TRADE line support for 10yr yields = 1.96% (so we’re above that), but the TREND up at 2.03% is the biggest line in the sand that has not yet been traversed. Stay tuned.

  • ADVANCE/DECLINE LINE: 1633 (+821) 
  • VOLUME: NYSE 840.83 (16.48%)
  • VIX:  20.69 -1.80% YTD PERFORMANCE: -11.58%
  • SPX PUT/CALL RATIO: 1.40 from 2.03 (-31.03%)

 

CREDIT/ECONOMIC MARKET LOOK:

  • TED SPREAD: 57.44
  • 3-MONTH T-BILL YIELD: 0.01%
  • 10-Year: 1.95 from 1.98
  • YIELD CURVE: 1.71 from 1.74

 

MACRO DATA POINTS (Bloomberg Estimates):

  • 7:00am: MBA Mortgage Applications, Jan. 6 (prior -4.1%)
  •  8:40am: Fed’s Evans speaks on U.S. economy in Illinois
  • 9:00am: Fed’s Lockhart to speak on economy in Atlanta
  • 10:30am: DoE inventories
  • 12:30pm: Fed’s Plosser speaks on economy in Rochester, NY
  • 1:00pm: U.S. to sell $21b 10-yr notes (reopen)
  • 2:00pm: Fed’s Beige Book

WHAT TO WATCH: 

  • Mitt Romney wins New Hampshire primary, Ron Paul finishes second; South Carolina primary next
  • Microsoft said 4Q industry PC sales will probably be lower than analyst est. on Thailand flooding
  • Geithner meets with Chinese officials, encouraged by comments on growth; due to meet Japanese PM Yoshihiko Noda
  • MetLife to shut its home mortgage-origination operation, costing at least $90m; most of 4,300 units employees to lose jobs
  • CFTC may vote on Dodd-Frank Act proposal that would limit proprietary trading by banks, limit hedge fund investments
  • CEOs of Deutsche Boerse AG, NYSE Euronext meet in NY today as they seek to overcome opposition to exchange combination
  • MF Managing Director Christine Lagarde to meet with French President Sarkozy after meeting with German Chancellor Merkel yday. Merkel, Italian Prime Minister Monti give news conference ~7am ET
  • Supervalu releases earnings at 8am; watch gross margin, forecast
  • Lennar releases earnings at 6am; watch orders, traffic, mortgage availability
  • No IPOs planned

 

COMMODITY/GROWTH EXPECTATION (HEADLINES FROM BLOOMBERG)


COPPER – the Doctor is in the Global Macro house this morning! Ringing the alarm clocks on the bears early (and loudly), up +1.1% isn’t the point as much as an intermediate-term TREND breakout > $3.45/lb – we’ll see if that holds (still below TAIL resist of $3.98), but Copper likes what it sees out of China all of a sudden.

  • U.S. Wheat Expanding From Century Low as Glut Looms: Commodities
  • Coal Set to Rebound After Worst Year Since 2005: Energy Markets
  • Oil Falls From Near One-Week High After German Economy Shrinks
  • China’s Gold Imports From Hong Kong Reach Record on Demand
  • Soybeans Fall as Cooler Weather in South America May Help Crops
  • Cocoa Retreats by 3.1% on NYSE Liffe, Erasing Earlier Gains
  • Copper Trades Unchanged at $7,740 a Ton in London, Erasing Gain
  • Thailand to Buy Rubber at Above-Market Rates After Protests
  • Red Kite Evangelicals Reap 47% Sowing Bet on China Copper Market
  • Rio, Fortescue Halt Ore Loading, Ports Shut as Cyclone Nears
  • Exxon, Vitol Said to Sell Nigeria Oil Supply to Bharat Petroleum
  • Russia Resumes Crude Oil Deliveries to China Via Kazakh Pipeline
  • Iranian Nuclear Scientist Killed in New Attack Against Program
  • COMMODITIES DAYBOOK: U.S. Wheat Acreage Expands Most in 3 Years
  • Gold Climbs to 4-Week High on China Demand, Europe Debt Concerns
  • Rapeseed May Advance 5.9% in Retracement: Technical Analysis
  • Australian Ports Shut for Cyclone Export 41% of Global Ore Trade

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CURRENCIES

 

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EUROPEAN MARKETS


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ASIAN MARKETS


 HANG SENG – in our core multi-factor model, this index carries a heavy-weight as a leading indicator – so seeing last night’s follow through buying (on volume, ahead of more Chinese data this week) is just bullish. Hang Seng +0.8% to 19,151 matters because it’s an explicit confirmation of an intermediate-term TREDN breakout > 18,616 support. China Growth Slowing at a slower pace.

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MIDDLE EAST


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The Hedgeye Macro Team