Daily Trading Stance - 2009-10-02

Daily Trading Stance

Friday, October 02, 2009

Theme Comment

Stocks dropped yesterday after a huge drop in Auto sales (after the end of the CFC). Domestic Vehicle Sales were down by a third since Aug. The market is jittery ahead of today’s NFP and Unemployment Rate. EUR is under pressure due to the Irish referendum today. Trendline support in S&P500 today is 1013. It looks like that level could be tested today. The HY universe saw the biggest one-day drop since March and treasuries are making new highs. Commodities are all lower, indicating more risk-aversion. Stand by for an ugly weekly close. Economic Data Releases Country Time (GMT) EC 09:00 US 12:30 US 12:30

Name E-Z PPI YoY (AUG) Unemployment Rate (SEP) Change in Nonfarm Payrolls (SEP)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment While holding below 1.4575, expect weakness to the 1.4440-50 lvl. Stop abv 1.4610 Res at 89.65-80 seen holding for further slippage to 89.0, then 88.25 again Res now firm at 130.60. Strong suppt at 129.50-60 initially, but risks breaking for 127.0 Prefer to sell rallies to 1.5940-50 for a push through 1.59, targeting 1.5830-40. Stop abv 1.5990 Likely capped at 0.8720 for a push below 0.8675 for 0.8630 target, stop abv 0.8750

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

FX-Options EURUSD

Expectation -7.6% 9.8% -175K

Prior -8.5% 9.7% -216K

Comment We expect 9.8%. We expect -245K

Comment Market slightly better bid for downside after the spot move yesterday. 1 mth riskies traded 0.2 favouring EUR puts and talk of Goldman having bought 3-6m 1.36 area strikes. Front end all bid with risk reversals following as USD puts are being bid. Rest of the curve should remain well supported through this level as equities and spot remain weak. 1mth is paid up quickly from 14.7 yesterday in NY to 15.3% in early Sydney. Front end all well bid with nonfarm and RBA over next few sessions.

USDJPY AUDUSD

Equities DAX FTSE S&P500 Nasdaq100 Dow Jones

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

Comment Buy on dips towards 5516 targeting 5560. S/L below 5495. Buy on dips towards 5009 targeting 5050. S/L below 4990. Buy on dips towards 1013 targeting 1032. S/L below 1010.

Commodities Gold Silver Oil (CLX9)

Daily Stance 0/+ 0 0/-

Comment Buy on dips towards 995 and target 1006. Stop below 990. Close if EURUSD breaks below 1.4455. Neutral. Sell around 70 and target 67.50. Stop above 71.50.

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

Name

EPS exp.

EPS prior

Comment

Daily Trading Stance Top 100 Global Stocks CDS Index

#N/A Requesting Data...

140

3

2,5

120

2 100

1,5

1

80

0,5 60

0

-0,5 23-maj

23-jul

23-sep

23-nov

23-jan

23-mar

23-maj

23-jul

23-sep

40 03-10-2008

03-12-2008

03-02-2009

03-04-2009

03-06-2009

03-08-2009

Saxo CDS Index

# N/A R e qu esti ng Data...

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 54.

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 26.

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