Daily Trading Stance - 2009-09-28

Daily Trading Stance

Monday, September 28, 2009

Theme Comment

Both Durable Goods Orders and New Home Sales were lower than expected on Friday – despite first-time home buyers still being eligible for the $8K tax credit. Beginning signs of risk-aversion in the FX market: USD and JPY strengthening at the expense of EUR and AUD. GBP under severe pressure. Shanghai Composite down again. Still, the corporate credit market seems to reflect ample liquidity and risk-willingness. Today will be quiet, data-wise, but further political statements in the aftermath of the G20 might impact the markets. Some talk about record amounts of cash on the “sideline”. We maintain a “buy-on-dips” until we see further deterioration in corporate credit markets. Economic Data Releases Country Time (GMT) GE US 12:30 US 14:30

Name Consumer Price Index MoM (SEP) Chicago Fed Nat. Activity Index (AUG) Dallas Fed Manf. Activity (SEP)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment Res now seen at 1.4610-20 lvl for a challenge of 1.4550. 1.4450 strong suppt. Sell rallies to 89.30-50 lvl for a push thru 88.20 en-route 2008 low at 87.10. Risk of a re-test sub-130 lvls. Res now 130.45-55 but 129.40-50 strong suppt. N-term suppt at 1.5770. Below sees 1.5720 else 1.5770-1.5850 range for today. Suppt at 0.8550-60 seen holding with a 0.8550-0.8625 range in prospect.

Daily stance 0/0/0/0/0

FX-Options EURUSD

Expectation -0.2% -4.0%

Prior 0.2% -0.74 -9.1%

Comment

Comment One major US investment house continues to build its frontend and mid-curve EUR put position on Friday. Given the move in spot over the weekend, expect vols to remain firm. Vols gapped as everyone scrambled to buy as spot came tumbling to a low of 88.20 early in Asia. Risk reversals are bid even though spot has almost recouped losses. Front end jumped following the spike in cross yen vols. Won’t imagine frontend to get offered heavily even if spot retraces back to where it started from.

USDJPY AUDUSD

Equities DAX FTSE S&P500 Nasdaq100 Dow Jones

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

Comment Buy around 5547 targeting 5595. S/L below 5528. Buy around 5040 targeting 5080. S/L below 5018. Buy around 1031 targeting 1042. S/L below 1026.

Commodities Gold Silver Oil (CLX9)

Daily Stance 0/+ 0 0/-

Comment Buy on dips towards 985 and target 999. Stop below 980. Neutral. Risk-reward not convincing. Sell at the break of 65 and target 62.50. Stop above 66.50.

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 19-maj

19-jul

19-sep

19-nov

19-jan

19-mar

19-maj

19-jul

19-sep

40 29-09-2008

29-11-2008

29-01-2009

29-03-2009

29-05-2009

29-07-2009

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

sep-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 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