Daily Trading Stance - 2009-11-26

Daily Trading Stance

Thursday, November 26, 2009

Theme Comment

Treasuries are higher, Shanghai Composite is down more than 3% this morning and rest of Asia is in red. The USD still seems to be weakening, but stock futures are slightly lower o/n. Key resistance in S&P500 is 1114 (5843 in DAX). Our stance today is a “sell-on-rallies”, since we need some consolidation and since traders would be reluctant to break important levels on Thanksgiving thin liquidity. Economic Data Releases Country Time (GMT) EC 09:00 GE

Name Eurozone M3 YoY (OCT) CPI MoM (NOV)

FX EURUSD USDJPY EURJPY GBPUSD EURAUD

Comment Sell on rallies towards 1.51 and target 1.50. Stop above 1.5150. Buy at the break of 87.50 and target 88.30. Stop below 87.20. Neutral. Sell on rallies towards 1.67 and target 1.6580. Stop above 1.6750. Sell on rallies towards 1.6450 and target 1.6300. Stop above 1.6520.

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

FX-Options EURUSD

Expectation 0.8% 0.0%

Prior 1.8% 0.1%

Comment

Comment Vols remain soft and risk reversals have eased back with sellers in the 6 – 12 mth area. Front end, meanwhile, should remain under pressure over the US holidays Spot breaks to 86.30 lows and resulted in a panic to buy vols across the curve. 1m is up 1 vol to 12.65 while 1y traded up to 15.0. Market is clearly short vols down here. Front end continues to see offers while back end remains solidly bid. With a spot likely to hold the 9200 level, mid curve should ease up slightly.

USDJPY AUDUSD

Equities DAX FTSE S&P500 NASDAQ10 0 DJIA

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

Comment Sell at the break of 5784 targeting 5744. S/L above 5826. Sell at the break of 5349 targeting 5318. S/L above 5364. Closed – Thanksgiving Closed – Thanksgiving Closed – Thanksgiving

Commodities Gold Silver Oil (CLZ9)

Daily Stance 0/0/-

Comment Take profit on longs now. Sell at the break of 18.48 and target 18.20. Stop above 18.70. Sell on rallies towards 77.50 and target 75.50. Stop above 78.20.

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 17-jul

17-sep

17-nov

17-jan

17-mar

17-maj

17-jul

17-sep

17-nov

40 27-11-2008

27-01-2009

27-03-2009

US Breakeven 10 Year

27-07-2009

27-09-2009

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

27-05-2009

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 20.

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