Daily Trading Stance - 2009-11-13

Daily Trading Stance

Friday, November 13, 2009

Theme Comment

The number of macro releases this week has been quite low so far, but today will be more exciting. German GDP has already been released and came out in line with expectations. We believe that Eurozone GDP (out at 10:00) could disappoint slightly as Germany is the main driver behind this number. The monthly budget statement from the US showed a deficit of $176.4 billion with receipts plummeting to a seven year low. While the net interest expense on the debt is still low, this will change once interest rates start to increase. U. of Michigan consumer confidence will be one of the drivers in the US today. The expectation is for a slight increase which should be doable. Fed members Evans and Dudley (both FOMC voters) will speak at separate events today on asset-price bubbles and the financial system, respectively. Economic Data Releases Country Time (GMT) EC 10:00 US 13:30 US 15:00

Name GDP QoQ / YoY (3Q) Import Trade Index (OCT) U. of Michigan Confidence (NOV)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment Rally likely limited to 1.4900-10 for a re-test of 1.4825, possibly 1.4775. abv 1.4960 negates stance. Suppt now found at 89.90-00 lvl for a rebound to 90.60 en-route for 91.0. Stop below 89.60. Likely finding a base at 134.0 for a 134.0 – 135.00 range. Below risks 133.30. Sell rallies to 1.6615-20 lvl for next leg down to target 1.6500 min. Stop abv 1.6675. Risk of a deeper correction to 0.9180. Prefer to sell rallies to 0.9285-90, stop abv 0.9330.

Daily stance 0/0/+ 0 0/-

FX-Options EURUSD

Expectation 0.5% / -3.9% 1.0% 71.0

Prior Comment -0.2% / -4.8% 0.1% 70.6

Comment Market turned their heads towards EUR puts again after yesterday’s usd rally. Banks aggressively paying up for EUR puts now and would not be surprised to see spot reflect that and go lower. Atm vols still remain at 2y lows, however market is still dominated by aggressive buyers of low delta eur puts, which has taken risk reversals to new highs.

EURCHF

Equities DAX FTSE S&P500 Nasdaq100 DJIA

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

Comment Sell on rallies towards 5660 targeting 5620. S/L above 5680. Sell on rallies towards 5286 targeting 5239. S/L above 5306. Sell on rallies towards 1095 targeting 1083. S/L above 1106.

Commodities Gold Silver Oil (CLZ9)

Daily Stance 0 0 0

Comment Holding the 1,098 critical for upward momentum. Likely ranging 1,100-1,120. Below risks 1,080-1,082. Expect rebound to stall at 17.35 level for a 17.15-17.35 range. Suppt at 76.50 holding for now. Likely ranging 76.50-78.0.

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 04-jul

04-sep

04-nov

04-jan

04-mar

04-maj

04-jul

04-sep

04-nov

40 14-11-2008

14-01-2009

14-03-2009

US Breakeven 10 Year

14-07-2009

14-09-2009

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 56.

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 nov-07

14-05-2009

Saxo CDS Index

jan-08

mar-08

maj-08

jul-08

sep-08

EUR-USD OPT VOL 1W

nov-08

jan-09

EUR-USD OPT VOL 1M

mar-09

maj-09

jul-09

sep-09

nov-09

mar-08

jun-08

sep-08

dec-08

Moody BAA - US Generic Govt 30 Year Yield

EUR-USD OPT VOL 1Y

Volatility at different time horizons. Too low, now?

mar-09

jun-09

sep-09

Moody AAA - US Generic Govt 30 Year Yield

Spreads are easing, but still showing tight corporate debt markets. CBOE SPX VOLATILITY INDEX

CEE-German Govt. Bond Spreads 40

12

35

10 30

8

25 20

6

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

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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