Daily Trading Stance - 2009-12-11

Daily Trading Stance

Friday, December 11, 2009

Theme Comment

A turnaround is brewing in most asset classes and markets are again embracing risk, full-throttle – helped by rather decent Chinese growth and industrial production figures overnight. Especially oil is looking prone for a powerful rally from the $71 level. Gold also looks promising for a test of 1170 or so. Corporate CDS prices are edging lower and corporate bond spreads are narrowing even more. The uptrend in risk could be restored if/when EURUSD trades higher than the 55 DMA again (currently around 1.4856). Look for Retail Sales today as a potential trigger. Economic Data Releases Country Time (GMT) UK 09:30 US 13:30 US 15:00

Name PPI Input / Output (NOV) YoY Retail Sales / ex. Autos (NOV) MoM U. of Michigan Consumer Confidence (DEC)

FX EURUSD USDJPY EURJPY GBPUSD AUDUSD

Comment Prefer short side below 1.4760/80. Key support at 1.4670 area, then not much until <1.4500. Rally may continue. Buy dips toward 88.60 and look for break of 89.07 weekly pivot. Might continue higher in shortest term if interest rates continue to rise. Break lower has failed to hold, could consolidate higher to at least 1.6380 (55-day moving average). Sell ahead of 0.9200, but reverse if it holds above that level and use a tight stop.

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

FX-Options EURUSD

Saxo 0.7% / 0.3%

Consensus 4.0% / 2.9% 0.6% / 0.4% 68.8

Prior 0.1% / 1.7% 1.4% / 0.2% 67.4

Comment Vols got hammered and should look to continue lower over the next few weeks. Mid curve is down around half a vol and spot should stay in range until perhaps the FOMC date. Vols continue lower as spot manages to climb steadily off the lows. Back end of the curve eases up slightly while front end sees only sellers with upside bids over FOMC. Front end was heavily offered this morning and plenty of sellers looking to dump gamma. There were a few interests to buy 1-2mth low delta 94-95 area upside strikes.

USDJPY AUDUSD

Equities DAX FTSE S&P500 NASDAQ100 DJIA

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

Comment Buy at the break of 5735 targeting 5770. S/L below 5722. Buy at the break of 5257 targeting 5288. S/L below 5241. Buy at the break of 1105 targeting 1110. S/L below 1101. Buy at the break of 1802 targeting 1808. S/L below 1798.

Commodities Gold Silver Oil (CLF0)

Daily Stance + 0/+ +

Comment Buy around 1135 and target 1150. Stop below 1129. Buy at the break of 17.50 and target 17.70. Stop below 17.40. Buy around 71 and target 73. Stop below 70.10.

Earnings Releases Time (GMT) Country (G(GMT)(GMT )

Name

EPS exp.

EPS prior

Comment

Daily Trading Stance Top 100 Global Stocks CDS Index

US Breakeven 10 Year

140

2,5

2

120

1,5 100

1 80

0,5

60

0

-0,5 01-aug

01-okt

01-dec

01-feb

01-apr

01-jun

01-aug

01-okt

01-dec

40 12-12-2008

12-02-2009

12-04-2009

US Breakeven 10 Year

12-08-2009

12-10-2009

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 50.

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 dec-07

12-06-2009

Saxo CDS Index

feb-08

apr-08

jun-08

aug-08

okt-08

EUR-USD OPT VOL 1W

dec-08

feb-09

EUR-USD OPT VOL 1M

apr-09

jun-09

aug-09

okt-09

dec-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 35

12

30

10

25

8 20

6 15

4

10

5

2

0

0 feb-09

mar-09

apr-09

maj-09

jun-09

GDMA Hungarian - German

jul-09

aug-09

Czech Republic - German

sep-09 Poland - German

okt-09

nov-09

maj-09

jun-09

jul-09

aug-09

sep-09

okt-09

nov-09

CBOE SPX VOLATILITY INDX

The VIX Index is now at 22.

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