TODAY’S S&P 500 SET-UP – June 22, 2012
As we look at today’s set up for the S&P 500, the range is 15 points or -0.57% downside to 1318 and 0.57% upside to 1333.
SECTOR AND GLOBAL PERFORMANCE
EQUITY SENTIMENT:
- ADVANCE/DECLINE LINE: on 6/21 NYSE -1901
- Down from the prior day’s trading of 10
- VOLUME: on 6/21 NYSE 865.87
- Increase versus prior day’s trading of 15.27%
- VIX: as of 6/21 was at 20.08
- Increase versus most recent day’s trading of 16.47%
- Year-to-date decrease of -14.19%
- SPX PUT/CALL RATIO: as of 6/21 closed at 1.81
- Down from the day prior at 1.90
CREDIT/ECONOMIC MARKET LOOK:
YIELD SPREAD – watch this 10s/2s Spread in the US like a hawk; it’s at 133bps wide this morning and still holding the low end of its recent range – historically, the Yield Spread always mean reverts to dead flat. That’s your bear case for bank earnings from here which, incidentally, we think is a much more relevant next catalyst for the money centers than whatever Moodys figured out after the fact.
- TED SPREAD: as of this morning 38
- 3-MONTH T-BILL YIELD: as of this morning 0.08%
- 10-Year: as of this morning 1.64
- Increase from prior day’s trading at 1.62
- YIELD CURVE: as of this morning 1.34
- Up from prior day’s trading at 1.32
MACRO DATA POINTS (Bloomberg Estimates):
- 11am: Fed to purchase $1.5b-$2.25b notes in 2/15/2036-5/15/2042 range
- 12:30pm: Federal Reserve Bank of Cleveland President Sandra Pianalto speaks in Cleveland
- 1pm: Baker Hughes rig count
GOVERNMENT:
- House, Senate not in session
- CFTC holds closed meeting on enforcement matters, 10am
- U.S. Transportation Secretary Ray LaHood makes funding announcement on conference call, 10:15am
WHAT TO WATCH:
- Moody’s downgrades 15 global banks; Morgan Stanley only cut 2 levels, Credit Suisse reduced by 3
- Citigroup, other banks call Moody’s cuts unwarranted
- German business confidence fell more than estimated in June
- KKR said to consider sale of BIS unit ahead of refinance date
- Italian consumer sentiment fell to a record low
- AIG names Koellner as executive chairman of ILFC after CEO’s relationship is probed
- International Game, Bally secure Nevada online casino licenses
- Sony in final stages of talks to invest in Olympus: Nikkei
- U.S. Health Care, EU Summit, Google, RIM: Week Ahead
EARNINGS:
- Darden Restaurants (DRI) 7am, $1.15
- Carnival (CCL) 9:15am, $0.08
COMMODITY/GROWTH EXPECTATION (HEADLINES FROM BLOOMBERG
OIL – Bernanke’s Bubbles (Commodities) are in some cases popping; others (oil) crashing. This morning we are finally getting an immediate-term TRADE oversold signal for Brent at $89.92, so cover Energy shorts here and re-short the bounce. Both the Commodity and the stocks that have earnings expectations based on the wrong top-line assumptions.
- Crop Traders Bullish for Ninth Week on Dry Weather: Commodities
- Copper Heads for Seventh Weekly Drop in Eight on Slowdown Signs
- Gold Seen Cutting Weekly Decline as Europe Concern Spurs Demand
- Brent Oil Futures Rise on Speculation Plunge Below $90 Excessive
- Corn Climbs as Dry Midwest Weather Threatens to Hurt U.S. Yields
- Batista Said to Sell 49% AUX Stake to Qatar Fund for $2 Billion
- Sugar Falls as Supplies Seen Ample as Demand Slows; Coffee Drops
- Fortescue Challenges Gillard’s Mining Tax in Australian Court
- Jet Fuel Gets Olympic Spur as Europe Plants Shut: Energy Markets
- Soy Harvest Squandered as Reserves Decline: Argentina Credit
- Normal Monsoon for a Third Year Set to Boost India Harvests
- Food Stamps Vie With Aid to Growers in U.S. Agriculture Overhaul
- Aluminum Set to Extend Decline to 2010 Lows: Technical Analysis
- Nippon Steel Stainless Unit Eyes Mergers as Japan Demand Wanes
- Gazprom Biggest Loser as Shale Gas Upends World Markets: Energy
- Deripaska Comfortable on Rusal Debt as Yields Up: Russia Credit
CURRENCIES
EUROPEAN MARKETS
RUSSIA – while the Johnny come lately shorts in Spain cover all at the same time, Russian stocks continue to crash – get the petro and the Dollar right, and you’ll get the PetroDollar markets like Russia right. RTSI down another -2% here and crashing like oil has, down -27% since March. Context: Russia is the world’s 9th largest economy (Spain is 12th). There is no such thing as “de-coupling.”
ASIAN MARKETS
MIDDLE EAST
The Hedgeye Macro Team