Daily Trading Stance - 2009-06-24

Daily Trading Stance

Wednesday, June 24, 2009

Theme Comment

The Weekly ABC Consumer Confidence yesterday was out at -53. The lowest since the 9th of February and very close to the all-time low of -54. Where are the green shoots? Stocks went slightly higher yesterday, but S&P500 is still trading below the 50 and 200 DMA’s. Not even the high was higher yesterday. The market should still fear the effect on system liquidity from the Treasury auctions this week. Sell on rallies, but watch out for Durable Goods Orders today. Eastern European CDS prices are continuing higher. Get short PLN and HUF vs. EUR. Economic Data Releases Country Time (GMT) US 12:30 US 14:00 US 18:15

Name Durable Goods Orders (MAY) New Home Sales MoM (MAY) FOMC Rate Decision (JUN)

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment The EUR staged a remarkable comeback, now ranging 1.4060 and 1.4100 throughout asia. Approaching yesterday’s highs posted overnight. Buy stops above around 135.30 Still under pressure, although 95.00 support seems to be rather decent. Topside capped around 95.55. Looking to buy break 1.6480 looking for upside momentum towards 1.6560. Stop at 1.6435 Offered. Ranging around 0.7950 area, supported around 0.7910 area and more bids at 0.7820.

Daily stance 0/+ 0/+ 0/+ 0/+

FX-Options EURUSD:

Expectation -0.9% 2.3% 0.25%

Prior 1.9% 0.3% 0.25%

Comment Vol curve paid heavily, with 1y up from 14,05% to 14,5%. Frontend, mkt still waiting for FOMC. Longer FOMC. Longer term, for EUR calls.that Strong signalisthat EURUSD going higher andhigh a test term, mkt looking formkt EURlooking calls. Strong signal EURUSD going higher isand a test recent at recent high at 1.43ish likely within few weeks. and a test recent high is at 1.43ish is1.50 likely few weeks. 1.50 is the target in 3-6 months. 1.43ish is likely within few weeks. iswithin the target in 3-6 months.

Equities Daily stance DAX 0/FTSE 0/S&P500 0/Nasdaq100 0/Nikkei 0/-

Comment Sell towards 4752 targeting 4669. S/L above 4780. Sell towards 4266 targeting 4200. S/L above 4300. Sell towards 900 targeting 888. S/L above 906. Sell towards 1429 targeting 1410. S/L above 1436.

Commodities Daily Stance Gold 0/+ Silver 0/+ Oil 0/-

Comment Buy at the break of 927.50 and target 934. Stop below 923 Buy at the break of 14.03 and target 14.20. Stop below 13.95. Sell around 68.50 and target 66.66. Stop above 69.50.

Earnings Releases Time (GMT) Country (G(GMT)(GM T)

Comment

Name

EPS exp.

EPS prior

Comment

Daily Trading Stance Top 100 Global Stocks CDS Index

US Breakeven 10 Year

140

3

2,5 120

2 100

1,5

1

80

0,5 60

0

-0,5 13-feb

13-apr

13-jun

13-aug

13-okt

13-dec

13-feb

13-apr

13-jun

40 25-06-2008

25-08-2008

25-10-2008

US Breakeven 10 Year

25-12-2008

25-02-2009

25-04-2009

Saxo CDS Index

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 87.

USD breakeven 10 Year – an expression for measuring inflation expectations.

AAA and BAA Corporate Bonds vs. 30yr US Treasuries

EURUSD Opt. Vol. 7

35

6

30

5

25

4

20 3

15 2

10 1

5 0 nov-07

0 jun-07

aug-07

okt-07

dec-07

feb-08

apr-08

EUR-USD OPT VOL 1W

jun-08

aug-08

EUR-USD OPT VOL 1M

okt-08

dec-08

feb-09

apr-09

feb-08

maj-08

aug-08

nov-08

feb-09

maj-09

jun-09 Moody BAA - US Generic Govt 30 Year Yield

EUR-USD OPT VOL 1Y

Volatility at different time horizons. Too low, now?

Moody AAA - US Generic Govt 30 Year Yield

Spreads are easing, but still showing tight corporate debt markets.

CEE-German Govt. Bond Spreads

CBOE SPX VOLATILITY INDEX 70

12

60

10

50

8 40

6 30

4

20

10

2

0

0 aug-08

sep-08

okt-08

nov-08

dec-08

jan-09

feb-09

mar-09

apr-09

maj-09

dec-08

jan-09

feb-09

mar-09

apr-09

maj-09

jun-09

CBOE SPX VOLATILITY INDX GDMA Hungarian - German

Czech Republic - German

Poland - German

The VIX Index is edging higher. Above 30 again.

1