Daily Trading Stance - 2009-10-09

Daily Trading Stance

Friday, October 09, 2009

Theme Comment

Yesterday’s US bond auction not too impressive: Bid/Cover @ 2.37 vs. average of 2.63 since June. Yield @ 4%. Stocks edge higher still and S&P500 now challenging the 2009 high of 1080. ECB and BoE as expected yesterday, both virtually promising low interest rates for many more months. Should be supporting risk (EM, Commodities, Stocks, Corporate Credit). SEK still hurt by Latvian show-down: Moving to “non-recourse”-like regime, which might result in extremely big writedowns for Swedish banks, especially SEB and Swedbank. EUR, AUD, Gold rejected at or close to new highs. Likely to see a little retreat before moving higher again. Economic Data Releases Country Time (GMT) UK 08:30 CA 11:00 US 12:30

Name PPI Output / Core Output MoM (SEP) Unemployment Rate (SEP) Trade Balance (AUG)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment 1.4710-20 looks critical suppt to preserve uptrend. Below sees 1.4650, poss 1.46 MA Res at 89.35 needs to hold for another attempt on 88.25, else we retrace to 89.80 again Lacking direction/momentum despite risk appetite. Still trading a 130.50 – 132.0 range Expect to consolidate 1.5980 – 1.6080 range While suppt at 0.90 holds look to test new 2009 highs. Below targets 0.8940-50 suppt area

Daily stance 0/0/0 0 0/+

FX-Options EURUSD

Expectation 0.1% / 0.2% 8.8% -$33.0B

Prior 0.2% / 0.2% 8.7% -$32.0B

Comment

Comment With spot off the highs, vols should come under pressure. Gamma likely to follow lower . Talk of barriers 1.4850. Vols got given as spot rallies above 8900 on the back of bullish USD comments by Bernanke. If this move does not follow through, should see vols finding support again. Vols were a touch softer today and gamma seeing some selling interest as the weekend looms. Likely to see continue seeing selling pressure should spot stay in this range.

USDJPY AUDUSD

Equities DAX FTSE100 S&P500 Nasdaq100 Dow Jones

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

Comment Buy on dips towards 5683 and target 5734. Stop below 5665. Buy on dips towards 5125 and target 5164. Stop below 5110. Buy on dips towards 1061 and target 1070. Stop below 1057.

Commodities Gold Silver Oil (CLX9)

Daily Stance 0/+ 0/0

Comment Buy on dips towards 1040 and target 1050. Stop below 1036. Sell at the break of 17.49 and target 17.25. Stop above 17.65 Neutral

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 30-maj

30-jul

30-sep

30-nov

31-jan US Br eakeven

31-mar

31-maj

31-jul

30-sep

40 10-10-2008

10-12-2008

10-02-2009

10-04-2009

10-06-2009

10-08-2009

Saxo CDS Index

10 Year

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 57.

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 OPT VOL 1W

EUR- USD OPT VOL 1M

nov-08

jan-09

mar-09

maj-09

jul-09

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

EUR- USD OPT VOL 1Y

Volatility at different time horizons. Too low, now?

M o o d y A A A - US Ge n eri 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 CBOE SPX VOLATI LI TY

GDM AHungar ian - Ger m an

Cz echRepublic

- Ger m an

jul-09

aug-09

sep-09

I NDX

Poland - Ger m an

The VIX Index is now at 24.

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