Futures took the weak economic data yesterday in stride, marching higher on what appeared to be more new longs. S&P futures buying did seem more heavily driven by hedge funds. Today, SPX options
settle on the opening print meaning SPX-related option hedging activity will be a non-event after the open. Certain single stocks, however, could face pin-risk if the open interest in their
at-the-money calls exceed those of their puts expiring tonight. Names our Derivatives Research team highlights who face this risk include HPQ, EP, CD and S. Technically, we continue to watch 954.80
as our upside target, with 938.00 (50% of week's range) as initial support.
ORCL: one name in the software space in which we have seen good call buying interest, and that has seen building strength is ORCL. Trading above its 200 and 50-day M.A. and outperforming many of its
peers, continued market resilience could see a break-out above its $13 resistance. Over the longer term, $13.50 appears a very significant level, too. The stock could trade well into its earnings
period, as a number of stocks like DELL have. In fact, with DELL's trading pattern showing strength into earnings and fading after it, investors may want to consider a long ORCL, short DELL strategy
via the options.
Retailers: many of the retail stocks have underperformed the market recently, as consumers concerned about the economy and job cuts appeared to trim purchases of both clothes and other household
goods. In addition to seeing put buying across TGT, KSS and other names, one name whose on-balance volume looks particularly negative is WMT (WMT Equity OBV). For strategies on ways to implement
your view, call us.
>
> EQUITY FUTURES OVERVIEW: 05/16/03
>
> YESTERDAY'S TRADING RANGES, VOLUME, OPEN INTEREST AND CONTRACT HIGHS:
>
> INDEX EXPIR OPEN HIGH LOW SETTLE CHANGE JUN VOLU TOTAL O.I. CHANGE
> S&P 500 JUN 940.30 948.50 938.20 946.30 +6.00 52196 641656 +1595
> S&P e-minis 638934 715502 +2101
> +2015.20
> SPX Cash Index 946.67 +7.39
> MIDCAP JUN 455.45 457.25 453.00 456.75 +1.30 752 13356 +119
> RUSSELL JUN 419.75 423.00 419.00 422.50 +2.75 2096 24671 +880
> NASDAQ JUN 1151.00 1167.00 1150.00 1163.50 +12.50 10777 76497 -288
> NDX e-minis 254318 241804 +2194
> +1149.80
>
> YESTERDAY'S MARKET RECAP:
>
> S&P futures closed 6.00 points higher on Thursday, at 946.30
> Open interest increased roughly 2,000 contracts, which suggest new longs. Several dealers appeared to lead futures lower after mixed economic data. Multiple dealers lifted futures higher after the
> Philadelphia Fed Manufacturing number release at 12pm EST into the afternoon. Our desk participated mostly on the buy side for institutional accounts. Immediate resistance appears to exist at
> 948.50 (yesterday's high) and major at 954.80 (five month high, 12/02/02). Immediate support appears to exist at 938.20 (yesterday's low) and then at 918.00 (last week's low, 5/8). Futures closed
> up 6.00 at 946.30.
>
> TODAY'S FAIR VALUE AS ESTIMATED BY MERRILL LYNCH:
> FAIR VALUE RATE BASIS
> S&P 500 JUN -0.01 1.32% -0.37
> S&P JUN-SEP SPREAD -1.16 1.27% -1.10
> S&P 500 SEP -1.17 1.27% -1.46
> NASDAQ MAR 1.39 1.32% 0.57
>
>
> S&P FUTURES TECHNICAL LEVELS:
> RESISTANCE SETTLE SUPPORT
> 948.50 (yesterday's high) 946.30 938.20 (yesterday's low)
>
> NDX FUTURES TECHNICAL LEVELS:
> RESISTANCE SETTLE SUPPORT
> 1167.00 (yesterday's high) 1163.50 1150.00 (yesterday's low)
