TODAY’S S&P 500 SET-UP – June 27, 2012

As we look at today’s set up for the S&P 500, the range is 30 points or -1.06% downside to 1306 and 1.21% upside to 1336. 











    • Up from the prior day’s trading of -1657
  • VOLUME: on 6/26 NYSE 712.29
    • Decrease versus prior day’s trading of -5.50%
  • VIX:  as of 6/26 was at 19.72
    • Decrease versus most recent day’s trading of -3.24%
    • Year-to-date decrease of -15.73%
  • SPX PUT/CALL RATIO: as of 6/26 closed at 1.55
    • Down from the day prior at 1.86 


CLIFF – as in the USA fiscal kind, draws closer as the denominator (GDP) goes lower. Keith wrote in the Early Look note yesterday about the UST 2yr being one of my proxies for sov debt risk. It’s certainly not the only indicator, but how it moves (on the margin) matters. Long-term TAIL support for the 2yr has been 0.28%; well above that at 0.31% this morning – that compresses the Yield Spread too. 

  • TED SPREAD: as of this morning 37
  • 3-MONTH T-BILL YIELD: as of this morning 0.09%
  • 10-Year: as of this morning 1.63
    • Unchanged from prior day’s trading
  • YIELD CURVE: as of this morning 1.33
    • Up from prior day’s trading at 1.32 

MACRO DATA POINTS (Bloomberg Estimates):

  • 7am: MBA Mortgage Applications, June 22 (prior -0.8%)
  • 8:30am: Durable Goods Orders, May, est. 0.4% (prior 0.0%)
  • 8:30am: Cap Goods Orders Nondef Ex Air, May, est. 1.7% (prior -1.9%)
  • 8:30am: Cap Goods Ship Nondef Ex Air, May (prior -1.4%)
  • 10am: Pending Home Sales M/m, May, est. 1.5% (prior -5.5%)
  • 11am: Fed to buy $1.5-2.2b notes in 2/15/2036-5/15/2042 range
  • 1pm: U.S. to sell $35b 5-yr notes 


    • House, Senate in session
    • Lawmakers in House, Senate will try to clear transportation funding bill and measure on student loans; may tie them together to win passage
    • House Transportation Committee panel hearing on Jones Act waivers issued last year after strategic oil reserve was tapped in response to supply disruptions caused by the conflict in Libya; DOT Deputy Secretary John Porcar is to testify, 10am
    • House Natural Resources Cmte hearing on hydropower, 10am
    • House Financial Services Committee meets to consider its third semiannual report on the panel’s activities and to mark up a bill that would amend the Electronic Fund Transfer Act to limit fee disclosure requirements
    • House Judiciary holds hearing on international intellectual property rule enforcement, 10am
    • House Subcommittee on Communications and Technology will examine how viewing has changed as broadcasting, cable, satellite, Internet and other platforms have evolved, 10am
    • President Obama meets with Abu Dhabi Crown Prince Mohammed Bin Zayed
    • Obama hosts picnic for members of Congress at White House
    • EIA Administrator Adam Sieminski speaks at energy outlook conference held by Bipartisan Policy Center, 9am
    • U.S. Energy Information Administration to discuss agency’s 2012 energy outlook, 1pm
    • Food and Drug Administration will convene advisers for two days to weigh the safety of metal-on-metal hip implants


  • Microsoft lost an EU challenge to a EU899m ($1.2b) antitrust fine, was cut to EU860m, court said “essentially” upheld penalty
  • Facebook initiated at neutral at Citigroup, buy at Goldman
  • SEC said to authorize lawsuit against Harbinger’s Falcone
  • Best Buy founder Richard Schulze said to consider taking co. private
  • Apple wins preliminary injunction against Samsung Galaxy Tab
  • Stockton, California to file for bankruptcy after talks with bondholders, labor unions failed, biggest U.S. city to seek court protection
  • May durable goods orders forecast +0.5%, probably failed to make up for worst 4 mos. since recession
  • Spanish Prime Minister Mariano Rajoy said he will urge other EU leaders at a summit this wk to take measures to “stabilize markets using the available instruments”
  • Italy sells 185-day bills at 2.957% vs 2.104% on May 29
  • Glencore GBP16.9b ($26.4b) offer for the rest of Xstrata is in doubt after No. 2 shareholder Qatar Holding demanded the bid be increased by 16%
  • Announcement on News Corp. breakup may come by tomorrow
  • Philip Falcone said to face lawsuit from regulators over personal loan
  • SEC money-fund rule said to include capital or floating shrs
  • Monte Paschi to seek EU3.4b in govt. aid
  • Morgan Stanley faces test on ServiceNow IPO after Facebook flop
  • Netflix asked U.S. lawmakers to prevent cable providers from squelching its growth by imposing online-data consumption limits for customers
  • Google said to unveil $199 tablet at I/O conference starting today
  • Lockheed joins EADS lobbying Panetta to help stop budget cuts


    • Lennar (LEN) 6am, $0.16; Preview
    • McCormick (MKC) 7am, $0.61
    • Commercial Metals (CMC) 7am, $0.37
    • General Mills (GIS) 7am, $0.59; Preview
    • Monsanto (MON) 8am, $1.58; Preview
    • UniFirst (UNF) 8am, $0.99
    • AGF Management (AGF/B CN) 8am, $0.27
    • Paychex (PAYX) 4:01pm, $0.34
    • Progress Software (PRGS) 4:30pm, $0.22 



GOLD – get the Dollar right, and you’re still getting Gold right. Gold looking more like the Euro day to day; don’t underestimate how long Paulson is of the ETF (17% of it); liquidity matters and so does the downward pressure on price when an asset is in a Bearish Formation like Gold is. Next support = 1549, but that’s loose. This remains a Bernanke Bubble. 

  • Heat Wave Wilts Corn as Supply Drops Most Since ’96: Commodities
  • Corn Reaches Nine-Month High as U.S. Crop Damage May Worsen
  • Oil Falls as Rising U.S. Stockpiles Outweigh Supply Disruptions
  • Glencore Xstrata Deal Threatened as Qatar Seeks Higher Price
  • Copper Drops as Expanding Stockpiles May Signal Weaker Demand
  • Cocoa Extends Gains on Manufacturing Buying as Sugar Declines
  • Gold Set to Decline on Concern Europe’s Crisis Will Boost Dollar
  • Rosneft Said to Offer 200,000 Tons ESPO Crude for August Loading
  • Billionaire Deripaska Targets China to Expand Russian Food Sales
  • Gold’s $1,520 Support ‘Key’ to Stopping Drop: Technical Analysis
  • South Korea Power Shortages Costing $10 Billion a Year: Energy
  • Iron-Ore Price Forecast Lowered by Australia as China Cools
  • Corn Futures Jump as U.S. Harvest Faces Damage: Chart of the Day
  • Heat Wave Wilts Corn as Supplies Diminish
  • Sinopec to Process 1.6% Less Oil in Third Quarter, Oilchem Says
  • JPMorgan Reduces Second-Half 2012 Oil Outlook on Slowing Economy
  • Iraqi Crude Exports Via Turkey Halted for About 10 Hours 










GERMANY – both German stocks and German Bunds have broken their immediate-term TRADE lines of support (for the DAX, that’s 6249, putting it back into a Bearish Formation – bearish on all 3 of our risk mgt durations). As Growth Slows, GDP falls and risk ratios rise. Germany and Italy actually look like better shorts than Spain now. That’s new.














The Hedgeye Macro Team

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