Daily Trading Stance - 2009-10-28

Daily Trading Stance

Wednesday, October 28, 2009

Theme Comment US figures yesterday were quite disappointing. Especially Consumer Confidence at 47.7 vs. 53.5 expected. S&P500 wedge levels today: 1111 and 1055. We are close to support. Buy on dips with a tight stop. We believe that Durable Goods Order could surprise significantly to the upside today and the sentiment for tomorrow’s GDP is quite positive. The USD is again under pressure and commodities were picked up yesterday. One worry: Treasuries and VIX both a lot higher in the past two days. Economic Data Releases Country Time (GMT) US 12:30 US 12:30 US 14:00

Name Durable Goods Orders MoM (SEP) Durable G.O. ex. Transp. MoM (SEP) New Home Sales MoM (SEP)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment Still look to sell rallies. 1.4830-50 immediate res lvl, target 1.4775 then 1.4700. Stop abv 1.4925. Initial suppt at 91.0, below sees 90.70-80 but seen holding for rebound back to 91.50. Bearish developments. May find n/term suppt at 134.85 lvl but sell rallies to 135.75-85 for 134.65. Sell rallies to 1.6380-90 for break through 1.6335 to target 1.6250. Stop abv 1.6425. Break below 0.9125 suggests further weakness. Res now 0.9130, max 0.9175 before lower. Tgt 0.90.

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

FX-Options USDJPY

Expectation 1.0% 0.7% 2.6%

Prior -2.6% -0.3% 0.7%

Comment

Comment Vols went bid yesterday duo to heard behavior when EURUSD vol went bid. Mkt very keen on buying 91.90 expiring today, so we believe that level to act as a magnet on the ccy today. Still decent talk abt the 1.49 strike expiring today. Likely to see EURUSD advance to that level for NY expiry before heading lower again.

EURUSD

Equities DAX FTSE100 S&P500 Nasdaq100 DJIA

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

Comment Buy on dips towards 5590 and target 5650. Stop below 5570. Buy on dips towards 5173 and target 5222. Stop below 5155. Buy on dips towards 1056 and target 1065. Stop below 1052.

Commodities Gold Silver Crude Oil

Daily Stance 0/+ 0/+ 0/+

Comment Buy at the break of 1044 and target 1055. Stop below 1039. Buy on dips towards 16.55 and target 16.75. Stop below 16.40. Buy on dips towards 78.50 and target 81. Stop below 77.50.

Earnings Releases Time (GMT) Country (G(GMT)(G US Bf-Mkt US 16:30 MT)

Name Coca Cola Conoco Phillips

EPS exp. 0.462 0.939

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 18-jun

18-aug

18-okt

18-dec

18-feb

18-apr

18-jun

18-aug

18-okt

40 29-10-2008

29-12-2008

28-02-2009

US Breakeven 10 Year

30-06-2009

31-08-2009

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. 35

7

30

6

25

5

20

4

15

3

10

2

5

1

0

0 okt-07

30-04-2009 Saxo CDS Index

dec-07

feb-08

apr-08

jun-08

aug-08

EUR-USD OPT VOL 1W

okt-08

dec-08

EUR-USD OPT VOL 1M

feb-09

apr-09

jun-09

aug-09

okt-09

mar-08

jun-08

sep-08

dec-08

Moody BAA - US Generic Govt 30 Year Yield

EUR-USD OPT VOL 1Y

mar-09

jun-09

sep-09

Moody AAA - US Generic Govt 30 Year Yield

Spreads are easing, but still showing tight corporate debt markets.

Volatility at different time horizons. Too low, now?

CBOE SPX VOLATILITY INDEX

CEE-German Govt. Bond Spreads 45

12

40

10 35 30

8

25

6 20

15

4

10

2

5 0

0 dec-08

jan-09

feb-09

mar-09

apr-09

GDMA Hungarian - German

maj-09

jun-09

Czech Republic - German

jul-09 Poland - German

aug-09

sep-09

apr-09

maj-09

jun-09

jul-09

aug-09

sep-09

okt-09

CBOE SPX VOLATILITY INDX

The VIX Index is edging lower, now at 24.

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