Daily Trading Stance - 2009-09-02

Daily Trading Stance

Wednesday, September 02, 2009

Theme Comment

Stocks generally down 2% in the US session despite better than expected figures (ISM Manufacturing, Pending Home Sales and Total Vehicle Sales). It doesn’t bode well that S&P500 closed below 1000. The trend in stocks is still positive and the Shanghai Composite is up this morning. Commodities don’t look too healthy, but AUD is holding up. Keep an eye on NZDJPY (about to break lower). Today’s ADP Employment Change and the FOMC Minutes are important, potential market triggers. Looking at Japan: The JPY is higher and JGB’s are higher, despite worries about the DPJ issuing more debt to pay for campaign promises. Economic Data Releases Country Time (GMT) EC 09:00 US 12:15 US 18:00

Name Eurozone GDP QoQ (2Q) ADP Employment Change (AUG) Minutes of Aug. 12 FOMC Meeting

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment Look to sell rallies to 1.4240-50 for a push through 1.42 targeting 1.4150. 92.50-60 looks next key suppt. Below sees 91.90 else we risk rebound to 92.90-95. Sell rallies to 132.50, 133.25 max for break below 131.0 to target 129.50-70 m/term. 1.6150-70 probably caps for an eventual test of 1.6035-50 support area. Likely ranging 0.8250 – 0.8335-50 area. Prefer to sell into the rally m/term.

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

FX-Options

Expectation -0.1% -250K

Prior -0.1% -371K

Comment

Comment Vols hold firm yesterday with front end riskies very bid for EUR calls. 3-6mth risk reversals still favours EUR calls but came closer to par yesterday. Front end opened very bid this morning with equities opening lower but the wave of selling kicked in and vols have come off session highs. RRs are bid so expect spot to follow. Plenty of buyers on the opening after the spot move yesterday with 1mth trading as high as 16.6 but returned 16.3 offered by the later half of the session.

EURUSD USDJPY AUDUSD

Equities DAX FTSE S&P500 Nasdaq100 Dow Jones

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

Comment Buy in the range of 5285-5305 targeting 5360. S/L below 5265. Buy in the range of 4790-4805 targeting 4840. S/L below 4775. Buy in the range of 995-1000 targeting 1012. S/L below 992.

Commodities Gold Silver Oil

Daily Stance 0/0/0/-

Comment Sell on rallies towards 960 and target 950. Stop above 964. Sell on rallies towards 15 and target 14.60. Stop above 15.25. Sell at the break of 67.42 and target 65.50. Stop above 68.50.

Earnings Releases Time (GMT) Country (G(GMT)(G MT)

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 23-apr

23-jun

23-aug

23-okt

23-dec

23-feb

23-apr

23-jun

23-aug

40 03-09-2008

03-11-2008

03-01-2009

03-03-2009

03-05-2009

03-07-2009

Saxo CDS Index

U S Breakeven 10 Year

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 56.

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

Volatility at different time horizons. Too low, now?

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

CEE-German Govt. Bond Spreads

CBOE SPX VOLATILITY INDEX

12

60

10

50

8

40

6

30

20

4

10

2

0

0

nov-08

Moody AAA - US Generic Govt 30 Year Yield

dec-08

jan-09

feb-09

mar-09

apr-09

maj-09

jun-09

jul-09

aug-09

feb-09

mar-09

apr-09

maj-09

jun-09

jul-09

aug-09

CBOE SPX VOLATILITY IN DX G DMA H ungarian - G erman

Cz ech Republic - G erman

Poland - G erman

The VIX Index is heading higher, now at 29.

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