Daily Trading Stance - 2009_05_04

Daily Trading Stance

Monday, May 04, 2009

Theme Comment The 10-year US Treasury Yield is now exactly the same as pre-QE operations. In other words, QE does not work. At the same time, the Fed is introducing measures that will make it more expensive to short Treasuries through a penalty on so-called failed trades in the Treasury market. This will severely dampen volume in the market – especially for repos. Time to get ready for even higher yields? The number of short-sales of financial shares is climbing rapidly as the release of the stress-test results move closer (tomorrow). The market is positioning itself to more preferred-to-common conversion. Economic Data Releases Country Time (GMT) EC 08:00 US 14:00 US 14:00

Name PMI Manufacturing (APR) Pending Home Sales MoM (MAR) Construction Spending MoM (MAR)

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment Risk appetite suggesting buy dip strategy. Suppt 1.3275-80 Res 1.3365-853 lvl 200-day MA at 133.10-15 may cap rally for now. Abv sees 134.30 else 131.50 Looks bid. Buy break abv 99.55-60 res for test of 100.0+ Next res 100.50 Retracement looks limited to 1.4915-20 before 1.5050-60 test. Prefer buy dips Break of 0.7380-90 looks imminent for 0.7420 then 0.7475-80

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

Expectation 36.7 0.0% -1.7%

Prior 36.7 2.1% -0.9%

Comment

FX-Options

Comment

EURUSD

Still seeing demand for upside EURUSD strikes , rest of the curve remains unchanged from last week so spot still expected to move higher or hold up at least. Slow start to the week and vols lower as spot is just likely to remain rangebound for the next few trading sessions at least until Friday. Still observing a couple if interests to buy upside strikes around 1 mth area. Quiet session In general so likely to see spot drift higher or stay within 7300 -7425 range.

USDJPY AUDUSD

Equities Daily stance DAX 0/+ FTSE 0/+ S&P500 0/+ Nasdaq100 0/+ Nikkei225 0/+

Comment Buy at the break of 4786 targeting 4837 initially, 4900 finally. S/L below 4769. Buy at the break of 4252 targeting 4293, 4349 finally. S/L below 4210. Buy at the break of 880 targeting 888 initially, 896 finally. S/L below 870.

Commodities Daily Stance Gold(XAUUSD) 0/+ Silver(XAGUSD 0/+ ) (CLM9) Oil 0/+

Comment Buy on dips towards 890 and target 904. Stop below 885. Buy on dips towards 12.60 and target 12.80. Stop below 12.50. Buy on dips towards 53 and target 54. Stop below 52.50.

Earnings Releases Time (GMT) Country (G(GMT)(GM SM SW T) US -

Name Acerinox SA Industrivärden AB Estee Lauder

EPS exp. -0.293 2.73 0.048

EPS prior 0.053 -61.3 0.769

Comment

Daily Trading Stance

US Breakeven 10 Year

Top 100 Global Stocks CDS Index

140

3

2,5

120

2 100

1,5

1

80

0,5 60

0

-0,5

24-dec

24-feb

24-apr

24-jun

24-aug

24-okt

24-dec

24-feb

24-apr

40 05-05-2008

05-07-2008

05-09-2008

05-11-2008

05-01-2009

05-03-2009

Saxo CDS Index

US Breakeven 10 Year

USD breakeven 10 Year – an expression for measuring inflation expectations.

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 112. AAA and BAA Corporate Bonds vs. 30yr US Treasuries

EURUSD Opt. Vol. 7

35

6

30

5

25

4

20

3

15 2

10 1

5 0 sep-07

0 apr-07

jun-07

aug-07

okt-07

dec-07

feb-08

EUR-USD OPT VOL 1W

apr-08

jun-08

EUR-USD OPT VOL 1M

aug-08

okt-08

dec-08

feb-09

dec-07

mar-08

jun-08

sep-08

dec-08

mar-09

apr-09

EUR-USD OPT VOL 1Y

Moody BAA - US Generic Govt 30 Year Yield

Volatility at different time horizons. Too low, now?

Moody AAA - US Generic Govt 30 Year Yield

Spreads are easing, but still showing tight corporate debt markets.

CEE-German Govt. Bond Spreads

CBOE SPX VOLATILITY INDEX

12

90

80 10

70 8

60 50

6

40 4

30 20

2

10 0

jul-08

0 aug-08

sep-08

okt-08

nov-08

GDMA Hungarian - German

dec-08 Czech Republic - German

jan-09

feb-09

mar-09

apr-09

maj-09

Poland - German

Some optimism after the G20 meeting. Especially for Hungary.

okt-08

nov-08

dec-08

jan-09

feb-09

mar-09

apr-09

CBOE SPX VOLATILITY INDX

The VIX Index is edging lower. Now below 40.

1