Daily Trading Stance - 2009-09-25

Daily Trading Stance

Friday, September 25, 2009

Theme Comment

The Fed apparently was not done on Wednesday, because yesterday they announced that they would reduce the liquidity-inducing programs TAF and TLSF. The announcement indicates that the Fed believes that the economy is strong enough to recover without as much additional liquidity. Combined with very poor Existing Home Sales (-2.7% vs. 2.1% expected) the dollar got some much needed support while stocks dropped quite a bit. Jobless Claims were the bright spot yesterday and was a good deal below the consensus of expectations. Let’s see if the trend can be sustained now that we are entering some critical months for the job market. Announcement of banks share offering and disappointing US homes sales makes equities retrace. Further news on banks losses and recapitalization needs will most likely make equities head south. The US dominates data-wise today. Watch out for New Home Sales – will they disappoint too? Economic Data Releases Country Time (GMT) US 12:30 US 14:00 US 14:00

Name Durable Goods Orders MoM (AUG) U. of Michigan Confidence (SEP) New Home Sales MoM (AUG)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment Prefer to sell rallies to 1.47 for a break of 1.4620 with 1.4550 target. Stop abv 1.4750. Sell rallies to 91.0 for a re-test of low 90s, stop abv 91.40. Sell rallies to 133.30-50 for a push down to low 132’s. Look to sell rally to 1.6030 for 1.5850 tgt, stop abv 1.6070. Rally seen limited to 0.8725. Sell there for 0.86 again.

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

FX-Options EURCHF

Expectation 0.4% 70.5 1.6%

Prior 4.9% 70.2 9.6%

Comment

Comment Market was dominated by aggressive buyers of frontend EUR puts and sellers of EUR calls by bigger swiss banks which would could see a potential move to the downside. Vols were firmer this morning as spot tumbles to session lows. Risk reversals are slightly better bid and middle part of the curve is finding decent support. Front end seeing good bids in Asia as selling eases. However a return to 8650-8700 range would likely bring gamma sellers back once again.

USDJPY AUDUSD

Equities DAX FTSE S&P500 Nasdaq100 Dow Jones

Daily stance 0/0/0/-

Comment Sell on rallies towards 5633 and target 5586. Stop above 5650. Sell at the break of 5091 and target 5052. Stop above 5101. Sell around 1058 and target 1051. Stop above 1060.

Commodities Gold Silver Oil

Daily Stance 0/0/0/-

Comment Near-term suppt at 990 may hold but sell rebound near 1,000 for a 980.0 target. Temp suppt seen just abv 16.0 but expect to break for a 15.80 target. Sell rallies. Further downside expected to target the 64.0 lvl. Sell rallies near 67.0 resistance.

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

Name KB Home

EPS exp. -0.670

EPS prior -0.190

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 16-maj

16-jul

16-sep

16-nov

16-jan

16-mar

16-maj

16-jul

16-sep

40 26-09-2008

26-11-2008

26-01-2009

26-03-2009

26-05-2009

26-07-2009

Saxo CDS Index

US B re ake ve n 10 Ye ar

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 52.

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 feb-08

maj-08

aug-08

nov-08

feb-09

maj-09

aug-09

0 sep-07

nov-07

jan-08

mar-08

maj-08

jul-08

sep-08

EUR -USD OP T VOL1 W

EUR -USD OP T VOL1 M

nov-08

jan-09

mar-09

maj-09

jul-09

sep-09 M o o d y B A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d

EUR -USD OP T VOL1 Y

Volatility at different time horizons. Too low, now?

M o o d y A A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d

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

CEE-German Govt. Bond Spreads

CBOE SPX VOLATILITY INDEX 50

12

45

10

40 35

8 30 25

6

20

4

15 10

2 5

0

0 nov-08

dec-08

jan-09

feb-09

mar-09

apr-09

maj-09

jun-09

jul-09

aug-09

mar-09

apr-09

maj-09

jun-09

jul-09

aug-09

sep-09

C B OE SP X V OLATILITY INDX

GDM A Hungar ian

- Ger m an

CzechRepublic

- Ger m an

Poland - Ger m an

The VIX Index is now at 25.

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