Daily Trading Stance - 2009-11-24

Daily Trading Stance

Tuesday, November 24, 2009

Theme Comment

We have a LOT of data releases today. Check the economic calendar for details. After a heavy sell-off in the Shanghai Composite and AUD and NZD, we recommend to sell stocks on rallies today. Corroborating evidence: Treasuries are making new highs and 10-year BE inflation rates are down. Beware of E-Z New Industrial Orders in the European session as that could set the tone heading into the US session. Economic Data Releases Country Time (GMT) US 13:30 US 13:30 US 15:00

Name GDP QoQ (3Q) Personal Consumption QoQ (3Q) Consumer Confidence (NOV)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment Look to buy dips to 1.4915-20 suppt for eventual push on 1.50 then 1.5060. Stop below 1.4870. Expect suppt at 88.70 lvl to hold for a rebound back to 89.20, poss 89.65. Below risks 88.30 first. Prefer to buy dips down to 132.40-50 for another rebound back to 133.50. Expect to trade in a 1.6540 – 1.6620 range. Watch for BOE King’s testimony for breakout. Buy dips down to 0.9165-70 suppt for a rebound to 0.9275, stop below 0.9115.

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

FX-Options EURUSD

Expectation 2.8% 3.2% 47.5

Prior 3.5% 3.4% 47.7

Comment Saxo Bank: 3.0% Saxo Bank: 3.3%

Comment Given the large drop in spot from yesterday’s highs, we might find some short term support for front end downside but in general gamma should slip going into Thanksgiving. Vols have been weak all morning with the usual curve steepening trades. 3m and out well supported but 1m and below sees only sellers. Front end vols continue to get sold this morning while mid curve risk reversals are bid with spot trading down to fresh lows. Expect spot to continue towards 9100.

USDJPY AUDUSD

Equities DAX FTSE S&P500 NASDAQ10 0 DJIA

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

Comment Sell on rallies towards 5800 targeting 5755. S/L above 5814. Sell on rallies towards 5355 targeting 5318. S/L above 5365. Sell on rallies towards 1107 targeting 1100. S/L above 1110.

Commodities Gold Silver Oil (CLZ9)

Daily Stance 0/+ 0/+ 0/-

Comment Buy on dips towards 1150 (the gap) and target 1161. Stop below 1147. Buy on dips towards 18.15 and target 18.40. Stop below 18.00. Sell at the break of 76.50 and target 75.00. Stop above 77.50.

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 15-jul

15-sep

15-nov

15-jan

15-mar

15-maj

15-jul

15-sep

15-nov

40 25-11-2008

25-01-2009

25-03-2009

US Breakeven 10 Year

25-07-2009

25-09-2009

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

25-05-2009

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

apr-08

jul-08

okt-08

jan-09

Moody BAA - US Generic Govt 30 Year Yield

EUR-USD OPT VOL 1Y

Volatility at different time horizons. Too low, now?

apr-09

jul-09

okt-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

maj-09

jun-09

jul-09

aug-09

sep-09

okt-09

nov-09

CBOE SPX VOLATILITY INDX

The VIX Index is edging lower, now at 21.

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