Daily Trading Stance - 2009_05_05

Daily Trading Stance

Tuesday, May 05, 2009

Theme Comment

The European Commission yesterday released its 2009 E-Z growth forecast: -4% is expected. Germany is forecasted to contract 5.4%. US Stocks rallied yesterday on better than expected Pending Home Sales and Construction Spending. Watch out for today’s ISM Non-Manufacturing. The Fed is expected to deliver stress-test result to financial sector executive today. Hear-say in the market indicates that 10 companies need to raise more cash through preferred to common conversion. Financials rallying non-the-less. Commodities following the stocks higher. Crude actually close to breaking higher, but watch out for API storage today. Economic Data Releases Country Time (GMT) EC 09:00 US 14:00 US 14:00

Name Expectation E-Z PPI YoY (MAR) -2.9% ISM Non-Manuf. Composite (APR) 42.2 Bernanke testifies before Committee -

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment Prefer buy dips. Suppt 1.3325-40 but upside may be limited to 1.3490 MA res 200-day MA at 132.95 may cap recent rally. Suppt currently132.30 Suppt at 98.30-50 likely to hold for re-test of 99.50 o/n highs Abv 1.5030-50 confirms we are heading for 1.5150+ while 1.4920-30 suppts Suppt now at 0.7360-80 for a challenge to new 2009 highs at 0.75

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

FX-Options EURUSD GBPUSD AUDUSD

Prior -1.8% 40.8 -

Comment

Comment Seeing buyers of intraweek EUR calls/USD puts in 1.35-1.3550 area. Likely to see spot trade higher ahead of the announcements on Thursday and Friday. Decent buying interest in overnight 1.5050s yesterday so along with EURUSD, this should trade higher for the next few sessions. RBA was a nonevent so expect gamma to come under pressure. Aggressive buyer of 7560s for end May so likely to see spot holding up well.

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

Comment Buy at the break of 4920 targeting 4998 (200 day MA). S/L below 4880. Buy at the break of 4245 targeting 4335. S/L below 4200. Buy at the break of 908 targeting 921. S/L below 902.

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

Comment Buy at the break of 907 and target 917. Stop below 902. Buy at the break of 13.15 and target 13.35. Stop below 13. Buy on dips towards 53.20 and target 54.50. Stop below 52.80.

Earnings Releases Time (GMT) Country (G(GMT)(GM DE US Bef-Mkt T) US Aft-Mkt

Name Danske Bank Archer-Daniels Midland Walt Disney

EPS exp. 0.025 0.513 0.417

EPS prior -2.165 0.708 0.511

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

25-dec

25-feb

25-apr

25-jun

25-aug

25-okt

25-dec

25-feb

25-apr

40 06-05-2008

06-07-2008

06-09-2008

06-11-2008

06-01-2009

06-03-2009

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 113. 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

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