Daily Trading Stance - 2009-11-02

Daily Trading Stance

Monday, November 02, 2009

Theme Comment

A real whipsaw in markets Thursday/Friday. Our take: The market isn’t too impressed by the US GDP figures on Thursday. They looked good on the surface, but showed discomforting details on closer scrutiny: Disposable Income is down and the impact from CFC is temporary. Government spending was again going through the roof. All in all: unsustainable and not showing a real recovery. CIT filed for bankruptcy, despite government bail-out. Our stance is now a sell on rallies and we skip the 1121 target. Look for 50/55 DMA to cap the upside today and the days to come. Economic Data Releases Country Time (GMT) US 15:00 US 15:00 US 15:00

Name ISM Manufacturing (OCT) Pending Home Sales MoM (SEP) Construction Spending MoM (SEP)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment Break abv 1.4775-80 lvl would target 1.4825. Else we stick to 1.4680-1.4780 range. Seen capped at 90.25-30 lvl. Sell there for 89.40, stop abv 90.85. May struggle past 133.50-60. Sell there for revisit to 132.0, stop abv 134.10. Break abv 1.6485 risks 1.6520-25 but capped there for retracement back to 1.6460. Likely drifting higher to 0.9075-80 res. Capped there ahead of RBA mtg tom. Suppt now 0.8975.

Daily stance 0 0/0/0 0/+

FX-Options EURGBP/GBPUSD:

EURUSD:

Expectation 53.0 0.0% -0.2%

Prior 52.6 6.4% 0.8%

Comment Friday GBP vols were again paid heavily and 1y vols are now trading 1.75 vol higher from the previous Friday levels. We shall expect to see GBP moving into a bigger range and trend towards new lows against the eur. After the US opening vols got paid with 1m 0.6 vol higher and seems like the 1.47:1.49 range trading trading is threaten on the downside, with rr still firmly favoring EUR puts.

Equities DAX FTSE100 S&P500 Nasdaq100 DJIA

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

Comment Sell on rallies towards 5347 and target 5288. Stop above 5374. Sell on rallies towards 5014 and target 4965. Stop above 5038. Sell on rallies towards 1047 and target 1034. Stop above 1053.

Commodities Gold Silver Crude Oil

Daily Stance 0 0/0/-

Comment Neutral. Sell on rallies towards 16.68 and target 16.46. Stop above 16.80. Sell at the break of 76.50 and target 74.50. Stop above 77.50.

Earnings Releases Time (GMT) Country (G(GMT)(G US 12:00 MT)

Comment

Name Ford Motor

EPS exp. -0.201

EPS prior 1.52

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 23-jun

23-aug

23-okt

23-dec

23-feb

23-apr

23-jun

23-aug

23-okt

40 03-11-2008

03-01-2009

03-03-2009

US Breakeven 10 Year

03-07-2009

03-09-2009

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. 35

7

30

6

25

5

20

4

15

3

10

2

5

1

0

0 okt-07

03-05-2009

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 jan-09

feb-09

mar-09

apr-09

maj-09

GDMA Hungarian - German

jun-09

jul-09

Czech Republic - German

aug-09 Poland - German

sep-09

okt-09

nov-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 31.

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