Daily Trading Stance - 2009-09-29

Daily Trading Stance

Tuesday, September 29, 2009

Theme Comment

Signs of risk-appetite: USD and JPY weakening again. HYG posting a strong candle and making new highs. Stocks are higher in a strong reversal and we maintain our short-term stance of “buy-on-dips”. One caveat: Today’s Conference Board Consumer Confidence is expected at 57, but the weekly ABC Consumer Confidence has not been improving noticeably in the past weeks. Expect a slight disappointment. Look out for DAX upside, could be boosted by the positive election outcome. Economic Data Releases Country Time (GMT) UK 08:30 US 13:00 US 14:00

Name GDP QoQ (2Q) CaseShiller Home Price Index YoY (JUL) Consumer Confidence (SEP)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment Likely to find res around the 1.4650-70 area for a test of 1.4550. Stop abv 1.4730. Res at 90.10-20 holding. Expect a retracement back to 89.25. Break abv res at 131.70 sees 132.40-50 else we stay 130.50 -131.80. Should find res at 1.5950 area for a re-test of Monday lows near 1.5775. Expect a squeeze up to 0.88. After that ranging 0.8725 – 0.88.

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

FX-Options GBPUSD

Expectation -0.6% -14.20% 57.0

Prior -0.7% -15.44% 54.1

Comment

Comment US investment bank paid the curve in good amounts. Risk reversals are bid as well so look for spot to head towards 1.55 in the next few weeks. Middle and back end vega paid again today. 6m atm was up about 0.5 vols on Friday and up another 0.8 vols yesterday. Should see the pair head towards 0.95. Vols eased off slightly after a wild session on Monday but buyers are still seen supporting the curve and the gamma sellers have not been as aggressive.

EURGBP USDJPY

Equities DAX FTSE S&P500 Nasdaq100 Dow Jones

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

Comment Buy around 5724 targeting 5780. S/L below 5695. Buy around 5155 targeting 5210. S/L below 5125. Buy around 1060 targeting 1068. S/L below 1056.

Commodities Gold Silver Oil (CLX9)

Daily Stance 0/+ 0/+ 0/+

Comment Buy on dips towards 988 and target 999. Stop below 984. Buy at the break of 16.30 and target 16.50. Stop below 16.20. Buy on dips towards 66.50 and target 68.25. Stop below 65.80.

Earnings Releases Time (GMT) Country (G(GMT)(G US 16:15 MT)

Name Nike Inc.

EPS exp. 0.971

EPS prior 1.000

Comment Q1 2010

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 20-maj

20-jul

20-sep

20-nov

20-jan

20-mar

20-maj

20-jul

20-sep

40 30-09-2008

30-11-2008

30-01-2009

30-03-2009

30-05-2009

30-07-2009

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 53.

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 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 25.

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