Daily Trading Stance - 2009-08-27

Daily Trading Stance

Thursday, August 27, 2009

Theme Comment Yesterday’s figures were a lot better than expected. Durable Goods Orders MoM at 4.9% vs. 3.0% expected. Cash-for-clunkers was the reason… New Home Sales MoM at 9.6% vs. 1.6% expected. Federal Tax Credit was the reason (running out at 1st of December). Watch out for the GDP revisions today. Consensus is a revision of -0.5% for the Q2 GDP (previously at -1% annualized). We think that is likely, but priced-in. Some consolidation in markets with stocks not really doing anything. AUD looks toppish and Shanghai Comp is down again. Economic Data Releases Country Time (GMT) US 12:30 US 12:30 US 12:30

Name GDP QoQ Annualized (2Q) Personal Consumption (2Q) Initial Jobless Claims (AUG)

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment Sell rallies to 1.4260-80 for a push lower to 1.4170-80 suppt. Stop abv 1.4320 Below 133.0 targets 132.25 else we stay in a 133.0-134.25 range 93.40-50 next support lvl. Likely to hold for rebound to 94.25 again. Below tests 92.80-00 Sell rallies to 1.6250 for continued slide to 1.6030-50 tgt. Stop abv 1.6350 Sell rallies to 0.8290-95 for a re-test of 0.8225, stop abv 0.8350

Daily stance 0/0/0 0/-

FX-Options EURUSD

Expectation -1.5% -1.3% 565K

Prior -1.0% -1.2% 576K

Comment

Comment ATM vols offered yesterday but seeing very good buying interests for low delta options with the RRs trading slightly closer to par. Haven’t seen many major spot moves in the last 2 months and market seems to be preparing for this to continue. Vols opened up firmer after spot tested session lows but has since came off with 1mth trading down to 14.95. Front end is full of sellers so do not expect spot to move too much. Market seems to be short ATMs so likely a break of 8100 will trigger a scramble for vols.

AUDUSD

Equities DAX FTSE S&P500 Nasdaq100 Dow Jones

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

Comment Sell at the break of 5508 targeting 5472. S/L above 5532. Sell at the break of 4870 targeting 4827. S/L above 4894. Sell at the break of 1022 targeting 1014. S/L above 1026. Sell at the break of 1627 targeting 1614. S/L above 1635.

Commodities Gold Silver Oil

Daily Stance 0/+ 0/+ 0/+

Comment Buy around 945 and target 956. Stop below 940. Buy on dips towards 14.10 and target 14.40. Stop above 14.00. Buy on dips towards 70.50 and target 72. Stop below 69.50.

Earnings Releases Time (GMT) Country (G(GMT)(G FR 13:45 FR -MT) US 18:00

Name Bouygues SA L’Oreal SA Dell Inc

EPS exp. 1.090 1.903 0.223

EPS prior 0.460 0.220

Comment

Daily Trading Stance Top 100 Global Stocks CDS Index

#N/A Requesting Data...

140

3

2,5

120

2 100

1,5

1

80

0,5 60

0

-0,5 16-apr

16-jun

16-aug

16-okt

16-dec

16-feb

16-apr

16-jun

16-aug

40 28-08-2008

28-10-2008

28-12-2008

28-02-2009

30-04-2009

30-06-2009

Saxo CDS Index

#N/A Requesting Data...

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 55.

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 jan-08

apr-08

jul-08

okt-08

jan-09

apr-09

jul-09

0 aug-07

okt-07

dec-07

feb-08

apr-08

jun-08 EUR-USD OPT VOL 1W

aug-08 EUR-USD OPT VOL 1M

okt-08

dec-08

feb-09

apr-09

jun-09

aug-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 okt-08

Moody AAA - US Generic Govt 30 Year Yield

nov-08

dec-08

jan-09

feb-09

mar-09

apr-09

maj-09

jun-09

jul-09

feb-09

mar-09

apr-09

maj-09

jun-09

jul-09

aug-09

CBOE SPX VOLATILITY INDX G DMA H ungarian - G erman

Cz ech Republic - G erman

Poland - G erman

The VIX Index is heading lower, now at 26.

1

General These pages contain information about the services and products of Saxo Bank A/S (hereinafter referred to as “Saxo Bank”). The material is provided for informational purposes only without regard to any particular user's investment objectives, financial situation, or means. Hence, no information contained herein is to be construed as a analysis; or an offer to buy or sell; or the solicitation of an offer to buy or sell any security, financial product, or instrument; or to participate in any particular trading strategy in any jurisdiction in which such an offer or solicitation, or trading strategy would be illegal. Saxo Bank does not guarantee the accuracy or completeness of any information or analysis supplied. Saxo Bank shall not be liable to any customer or third person for the accuracy of the information or any market quotations supplied through this service to a customer, nor for any delays, inaccuracies, errors, interruptions or omissions in the furnishing thereof, for any direct or consequential damages arising from or occasioned by said delays, inaccuracies, errors, interruptions or omissions, or for any discontinuance of the service. Saxo Bank accepts no responsibility or liability for the contents of any other site, whether linked to this site or not, or any consequences from your acting upon the contents of another site. Opening this website shall not render the user a customer of Saxo Bank nor shall Saxo Bank owe such users any duties or responsibilities as a result thereof.

Analysis Disclosure & Disclaimer Risk warning Saxo Bank A/S shall not be responsible for any loss arising from any investment based on any analysis, forecast or other information herein contained. The contents of this publication should not be construed as an express or implied promise, guarantee or implication by Saxo Bank that clients will profit from the strategies herein or that losses in connection therewith can or will be limited. Trades in accordance with the analysiss in an analysis, especially leveraged investments such as foreign exchange trading and investment in derivatives, can be very speculative and may result in losses as well as profits, in particular if the conditions mentioned in the analysis do not occur as anticipated.

2