Daily Trading Stance - 2009_05_08

Daily Trading Stance

Friday, May 08, 2009

Theme Comment

The stress test on US banks was released yesterday and nothing much new information was revealed. BofA need $34 bln., Wells Fargo $13.7 bln and CitiGroup $5.5 bln. The major issue is still whether the assumptions underlying the stress test regarding the worst case scenario is realistic. ECB cut interest rates to 1% and announced that it wants to buy debt and bunds were heading lower on this. BoE announced that it will have another go of buying debt despite that the prior attempt did not have any long lasting effect on the curve. Watch out for Non-farm payrolls and Unemployment rate from the US today. Definitely today’s most important event and will move markets. Toyota was out with a loss at 436.93 bln. Yen vs. a profit of 1.72 TN Yen last year. Cuts dividend by 50% and a bleak outlook for 2009. Economic Data Releases Country Time (GMT) GE 10:00 US 12:30 US 12:30

Name Industrial Production MoM (MAR) Change in Non-farm Payrolls (APR) Unemployment Rate (APR)

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment Rally can extend to 1.3470 high, but would sell there for re-test of 1.3330-40 200-day MA suppt holds at 132.40. Seen ranging 132.30-133.80 Looking for a re-test of 99.60, but seen holding for retracement to 98.80-00 Prefer downside while below 1.5060. Suppt still 1.4960 Still firm but looking tired. May halt at 0.7580-90 temporarily. Suppt at 0.7475-80

Daily stance 0/0/0/0/0

FX-Options EURUSD USDJPY AUDUSD

Expectation -1.3% -600K 8.9%

Prior -2.9% -663K 8.5%

Comment Buyers of shortdate starting to appear in both directions as the market looks nervous. Spot likely to be choppy over the next few sessions. Market is finding buyers along the middle of the curve even though spot is largely rangebound. 6m atms saw an aggressive buyer, also buyers of shortdate downside. Sellers of topside persists and the rest of the curve follows slightly lower. Today’s session saw a few buyers of low delta downside.

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

Comment Buy at the break of 4835 targeting 4900. S/L below 4790. Buy at the break of 4424 targeting 4490. S/L below 4380. Buy at the break of 910 targeting 920. S/L below 905.

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

Comment Likely suppted at 905. Next res at 925 Buy dips to 13.75 for a push back abv 14.0 Further upside potential to 60+. Buy dips to 56.0, stop below 53.40

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

Comment

Name

EPS exp.

EPS prior

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

28-dec

28-feb

28-apr

28-jun

28-aug

28-okt

28-dec

28-feb

28-apr

40 09-05-2008

09-07-2008

09-09-2008

09-11-2008

09-01-2009

09-03-2009

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 110. 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

mar-09

dec-07

mar-08

jun-08

sep-08

dec-08

mar-09

maj-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