Daily Trading Stance - 2009-07-28

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Daily Trading Stance

Tuesday, July 28, 2009

Theme Comment

Equities continued higher on the back of better than expected earnings, but it seems at a slower pace. However good news from the US housing market (New Home Sales up by 11% - remember this a very volatile figure) seems to have put some confidence into equity markets. But the strong upwards momentum is on hold. Take a look at US bond auctions today as $69 bln. is about to be auctioned. The bid-to-cover ratio will important for market sentiment. We do expect for this time a good bid-to-cover ratio, but have a hard time seeing that this could continue. Today’s important numbers are S&P/Case-Shiller price data from the US housing market and Conference Board Consumer Confidence. We expect the consumer confidence to come out lower than expected by the market. Economic Data Releases Country Time (GMT) US 13:00 US 14:00 US 14:00

Name S&P/CS Composite-20 YoY (MAY) Consumer Confidence (JUL) Richmond Fed Manuf. Index (JUL)

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment 1.43 next res, 1.4340 behind. Sell to res with stop abv 1.4360 for 1.4225. Watch res at 136.0, buy break abv for 136.80-85 else trade 135-136. Still prefer to buy dips below 95.0 for 95.80, stop below 94.40. Comfortably abv 1.65 today, buy dips below for 1.6580, stop below 1.6460. Break abv 0.8265 now targets 0.8350. Suppt now shifts up to 0.8200-20.

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

FX-Options EURUSD

Prior -18.12% 49.3 6

Comment

Comment Front end vols remain offered and spot does not seem like it will break above 1.4340. Backend vols slightly bid but still no clear directional bias. Short end of the curve is definitely going to continue to be under pressure as spot simply lacks range. Back end finds the occasional bids due to short covering of vega. Front end got offered quickly in early Asian session but dramatic reversal of spot brings some gamma buyers back. Back end is good value and should continue to hold firm.

USDJPY AUDUSD

Equities DAX FTSE S&P500 Nasdaq Dow Jones

Expectation -17.90% 49.0 8

Daily stance 0/0/0/0/0/-

Comment Sell on rallies towards 5290 and target 5230. Stop above 5305. Sell on rallies towards 4625 and target 4570. Stop above 4635. Sell on rallies towards 984 and target 973. Stop above 986. Sell on rallies towards 1600 and target 1583. Stop above 1603.

Commodities Daily Stance

Comment

Gold Silver Oil

Struggling to rally. Likely capped at 956.0, but ranging 950-956. Look to sell break below 13.98, stop abv 14.08 target 13.88. Sell break below 67.80, target 66.80 with stop abv 68.75.

0 0/0/-

Earnings Releases Time (GMT) Country (G(GMT)(G US Bef-Mkt US Aft-Mkt MT) US Bef-Mkt

Name FPL Group Norfolk Southern Viacom

EPS exp. 0.947 0.631 0.481

EPS prior 0.930 1.180 0.640

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 18-mar

18-maj

18-jul

18-sep

18-nov

18-jan

18-mar

18-maj

18-jul

40 29-07-2008

29-09-2008

29-11-2008

29-01-2009

29-03-2009

29-05-2009

Saxo CDS Index

US Breakeven 10 Year

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 61.

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 dec-07

mar-08

jun-08

sep-08

dec-08

mar-09

jun-09

0 jul-07

sep-07

nov-07

jan-08

mar-08

maj-08 EUR-USD OPT VOL 1W

jul-08 EUR-USD OPT VOL 1M

sep-08

nov-08

jan-09

mar-09

maj-09

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

EUR-USD OPT VOL 1Y

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

Volatility at different time horizons. Too low, now?

CEE-German Govt. Bond Spreads

CBOE SPX VOLATILITY INDEX

12

60

10

50

8

40

6

30

20

4

10

2

0

0 sep-08

Moody AAA - US Generic Govt 30 Year Yield

okt-08

nov-08

dec-08

jan-09

feb-09

mar-09

apr-09

maj-09

jun-09

jan-09

feb-09

mar-09

apr-09

maj-09

jun-09

jul-09

CBOE SPX VOLATILITY INDX GDMA Hungarian - German

Czech Republic - German

Poland - German

The VIX Index is edging higher again, now above 24.

1

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