TODAY’S S&P 500 SET-UP – June 21, 2012
As we look at today’s set up for the S&P 500, the range is 29 points or -1.67% downside to 1333 and 0.47% upside to 1362.
SECTOR AND GLOBAL PERFORMANCE
EQUITY SENTIMENT:
- ADVANCE/DECLINE LINE: on 6/20 NYSE 10
- Down from the prior day’s trading of 2074
- VOLUME: on 6/20 NYSE 751.15
- Decrease versus prior day’s trading of -2.71%
- VIX: as of 6/20 was at 17.24
- Decrease versus most recent day’s trading of -6.20%
- Year-to-date decrease of -26.32%
- SPX PUT/CALL RATIO: as of 6/20 closed at 1.90
- Up from the day prior at 1.54
CREDIT/ECONOMIC MARKET LOOK:
2YR – this came up last night; we talked about it as the leading indicator for the US Fiscal Cliff; this morning, the 2yr popped above our intermediate-term TREND line of resistance of 0.30%. This will be very interesting to watch as US GDP Growth continues to slow (the denominator in deficit/GDP drives the #1 fundamental risk ratio higher).
- TED SPREAD: as of this morning 39
- 3-MONTH T-BILL YIELD: as of this morning 0.08%
- 10-Year: as of this morning 1.64
- Decrease from prior day’s trading at 1.66
- YIELD CURVE: as of this morning 1.34
- Down from prior day’s trading at 1.35
MACRO DATA POINTS (Bloomberg Estimates):
- 8:30 am: Initial Jobless Claims, June 16, est. 383k (prior 386K)
- 8:30 am: Continuing Claims, June 9, est. 3278k (prior 3278k)
- 9:45 am: Bloomberg Consumer Comfort, June 17 (prior -36.4)
- 9:45 am: Bloomberg Economic Expectations, June (prior -1)
- 10am: Philadelphia Fed, June, est. 0.0 (prior -5.8)
- 10am: Existing Home Sales, May, est. 4.57m (prior 4.62m)
- 10am: House Price Index M/m, April, 0.4% (prior 1.8%)
- 10am: Leading Indicators, May, 0.1% (prior -0.1%)
- 10am: Freddie Mac mortgage rates
- 10:30am: EIA natural gas change
- 11am: Fed to purchase $4.25b-$5.25b notes in 6/30/2018-5/15/2020 range
- 1pm: U.S. to sell $7b 30-yr TIPS (reopening)
GOVERNMENT:
- Supreme Court issues decisions today
- CFTC holds open meeting on regulation of swaps, derivatives
- House, Senate in session
- Senate Banking hears from SEC Chairman Schapiro on proposals to overhaul money market mutual funds, 10am
- House Financial Services panel holds hearing on supervision of money services businesses, 9:30am
WHAT TO WATCH:
- Samaras to name new Greek govt., Vassilios Rapanos, chairman of National Bank of Greece, to become finance minister
- WTI crude oil falls below $80 for first time since Oct.
- Spain 2014 bonds avg yield 4.706% vs 2.069% in March sale
- Sales of previously owned U.S. homes probably fell in May
- U.K. retail sales rose 1.4%, beating est. 1.2%
- SEC said to depose SAC’s Cohen in insider-trading probe
- Philip Morris cuts 2012 EPS forecast on currency swings
- Onyx wins FDA advisory panel backing for blood-cancer drug
- Invensys says it’s no longer in any discussions after approach by Emerson
- BlueMountain said to help unwind JPMorgan’s losing trades
- MSCI puts Greece on review for potential reclassification as Emerging Market
- China manufacturing may shrink for an eighth month in June
- EMA expected to make drug-safety/approval decisions today/tmw
- UPS to begin offer in $6.5b TNT Express takeover tomorrow
- New Zealand GDP rises 1.1% Q/q, fastest in five years
- Euro-area finance ministers meet in Luxembourg to discuss financial transaction and energy taxes and the debt crisis
EARNINGS:
- Rite Aid (RAD) 7am, $(0.04)
- ConAgra Foods (CAG) 7:30am, $0.50
- CarMax (KMX) 7:35am, $0.53
COMMODITY/GROWTH EXPECTATION (HEADLINES FROM BLOOMBERG
OIL – is it a bird, a plane, or demand? Or is it the Dollar? Or supply? The crash in oil (WTIC -26% from $108) is highly correlated to the USD. Currently, on a 2-mth duration, USD/WTIC = -0.94. Get the Dollar right, you get oil right. Immediate-term TRADE oversold lines for WTIC and Brent at $80.57 and $91.20. Sell all bounces. It’s a Bernanke Bubble.
- Founder of $125 Billion Gold ETPs Stymied on Copper: Commodities
- Oil Drops Below $80 to Eight-Month Low on U.S. Supply, Europe
- Commodities Slump to 19-Month Low as U.S. Growth Outlook Weakens
- Copper Reaches One-Week Low on China Index and Fed Forecast Cut
- Gold Drops for Third Day as Fed Opts to Extend Operation Twist
- Sugar Falls as Rains May Ease in Top Grower Brazil; Coffee Drops
- Corn Drops as Slowing U.S. Economic Growth May Cut Ethanol Use
- Marcellus Gas Cuts Price Premiums to Decade Lows: Energy Markets
- Gazprom Bond Sale Biggest Since ’09 as Yields Dip: Russia Credit
- China Looks to Build Rare-Earths Reserves to Stabilize Prices
- Coffee Harvest in India Seen Falling From Record on Dry Weather
- Subsidies Boost Ambani With Record Diesel Sales: Corporate India
- China’s Hungry Pigs Lead to Surfeit of Soy Oil: Chart of the Day
- Crude Drops Below $80 to Eight-Month Low
- Bauxite, Nickel-Ore Imports by China Climb to Record in May
- Palm Oil Declines From Three-Week High on Fed’s Operation Twist
- Chinese Seek Duty on U.S. Silicon Expanding Trade Fight: Energy
CURRENCIES
EUROPEAN MARKETS
ASIAN MARKETS
CHINA – down another -1.4% last night after another bad PMI number and ongoing #GrowthSlowing signals on the East side of the world. Germany’s PMI print of 44.7 for June reflects this global slowing; so does the long end of the UST curve. It’s only a matter of time before Equities mean revert lower.
MIDDLE EAST
The Hedgeye Macro Team