Daily Trading Stance - 2009-10-15

Daily Trading Stance

Thursday, October 15, 2009

Theme Comment

JPMorgan posted a better than expected earnings report yesterday and with Intel’s earnings report was the major driver of equity markets. JPM’s earnings report was divided in two parts; record earnings in the investmentbank, but severe losses in their credit division and signaling it is going to get worse. The recent rally in equity markets have been quite strong, but the lack of insider buying and the recent surge into fixed-income funds points towards a rally that is running out of steam; so far the fixed-income funds have attracted 18 times more money than stocks in 2009. The FOMC minutes from yesterday made the USD drop as it showed that the major part of the committee members favored increased purchases of assets to speed recovery. Economic Data Releases Country Time (GMT) EC 09:00 US 12:30 US 12:30

Name CPI (SEP) MoM CPI / Core CPI (SEP) MoM Initial Jobless Claims

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment A test of 1.50 looks only a matter of time. Suppt now 1.4920-25 Near-term res at 89.80-90 seen holding for another test of 89.0. Abv sees 90.40 again Expect res at 134.20 to cap, setting up at 133.30 – 134.20 range Break of 1.6025-30 res suggests we can extend to 1.6100-20 before lower again While suppt at 0.9150-60 holds look for further gains to 0.9285.

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

FX-Options EURUSD

Expectation 0.1% 0.2% / 0.1% 520K / 6000K

Prior Comment 0.3% 0.4% / 0.1% 521K / 6040K

Comment Market was relentlessly buying vols with 1y trading up to 13.0. Spot should head towards 1.50 next even as some profit taking seems to be holding the 1.4950 level. Vols better supported this session. Strikes around 8950 should keep spot pinned. Seeing also some short covering in cross yen gamma, given they have came off a fair bit. Spot breaking new highs above 9200 and vol curve was paid up. Upside continues to see constant demand even for 3m out so likely to see this momentum continue.

USDJPY AUDUSD

Equities DAX FTSE100 S&P 500 Nasdaq100 Dow Jones

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

Comment Buy on dips towards 5865 and target 5930. Stop below 5835. Buy on dips towards 5272 and target 5320. Stop below 5250. Buy on dips towards 1088 and target 1099. Stop below 1084. Buy at the break of 1756 and target 1775. Stop below 1749.

Commodities Gold Silver Oil (CLX9)

Daily Stance 0/+ 0/+ 0/+

Comment Suppt at 1,060-61 lvl area seen holding for another push to 1,080. Suppt now at 17.80-85, expect to see further gains abv 18.0, target 18.45. Suppt moving up to 75.15-30 lvl as we push higher for a 79.0 target eventually.

Earnings Releases Time (GMT) Country (G(GMT)(G FH 10:00 US 11:30 MT) US Aft-Mkt

Name Nokia Goldman Sachs Google

EPS exp. 0.132 4.176 5.427

EPS prior 0.103 5.710 4.660

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 05-jun

05-aug

05-okt

05-dec

05-feb US Br eakeven

05-apr

05-jun

05-aug

05-okt

40 16-10-2008

16-12-2008

16-02-2009

16-04-2009

16-06-2009

16-08-2009

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 okt-07

dec-07

feb-08

apr-08

jun-08

aug-08 EUR- USD OPT VOL 1W

okt-08 EUR- USD OPT VOL 1M

dec-08

feb-09

apr-09

jun-09

aug-09

okt-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 23.

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