Subject: Equity Futures Overview - Monday, April 28, 2003
More talk this morning questioning the nature of the above average S&P 500 company earnings (profits up 11.2% vs. 8.5% consensus exp.) with over half coming from the energy sector, and with another good portion coming from foreign currency gains. Meanwhile, the short interest level in the Nasdaq has hit a new high of 4.46 billion shares as of April 15 (with the short interest in the NYSE also rising over 1 over the same period), which set us up for further short covering near term. As we saw plenty of new longs enter the market via S&P futures last week, the small pull backs late in the week could provide some funds to re-enter the markets this week as well (open interest decreased Thursday and Friday a bit after increasing over 20,000 earlier) but not enough to signal strong buying. Thus in the next few days, we would expect to consolidate between last week's ranges of 885 and 919.40, with holding 885 as a very constructive signal.
PG: following its earnings report this morning reflecting a strong quarter, PG shares could see strength today. However if higher beta names continue to outperform staples like PG, the near term upside could be limited. Investors who do, however, want to maintain long-term exposure to PG should consider buying calendar spreads - sell the June 90 call to buy the Oct. 95 call, paying 30 cents for the package. Near term implied vols still appear to be trading well above the recent realized vols on PG. Call us with questions.
> <<...OLE_Obj...>>
>
> EQUITY FUTURES OVERVIEW:
04/28/03
>
> 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 909.80 910.70 896.20 898.60 -11.20 47552
631293 +1471
> S&P e-minis 538212
640188 -7721
>
-73.20
> SPX Cash Index 898.81 -12.62
> MIDCAP JUN 432.75 432.00 427.50 428.60 -4.15 661
13202 +38
> RUSSELL JUN 392.15 392.00 387.00 388.75 -3.40 1325
21372 -145
> NASDAQ JUN 1108.00 1104.00 1082.5 1085.50 -22.50 11971
74568 -1412
> NDX e-minis 199781
208941 +3672
>
-784.60
>
> YESTERDAY'S MARKET RECAP:
>
> S&P futures closed 11.20 points lower on Friday, at 898.60 Multiple
> dealers bought futures ahead of the University of Michigan
confidence number release at 10am EST. Futures later failed the apparent psychological support level at 900.00. Two dealers
> appeared to participate in bottom buying after futures fell below
> 900.00.
By the end of the session one dealer appeared to lead the day's selling activity. Immediate resistance appears to exist at
> 910.70 (Friday's pit high). Immediate support appears to exist at
> 896.20
(Friday's low) and then at 894.20 (intraday double bottom from 4/22). Futures closed down 11.20 points, at 898.60.
>
> TODAY'S FAIR VALUE AS ESTIMATED BY MERRILL LYNCH:
> FAIR VALUE RATE BASIS
> S&P 500 JUN -0.79 1.31% -0.21
> S&P JUN-SEP SPREAD -1.30 1.28% -1.30
> S&P 500 SEP -2.08 1.28% -1.51
> NASDAQ MAR 1.96 1.31% 2.31
>
> S&P FUTURES TECHNICAL LEVELS (SEP Contract):
> RESISTANCE SETTLE SUPPORT
> 910.70 (Pit High 4/25) 898.60 896.20 (Friday's L 4/25)
>
> NDX FUTURES TECHNICAL LEVELS (SEP Contract):
> RESISTANCE SETTLE SUPPORT
> 1118.00 (Last Week Dbl Top.) 1085.50 1073.50 (4/22 Low)
>
> INDEX CHANGES:
> None
