Daily Trading Stance - 2009_05_13

Daily Trading Stance

Wednesday, May 13, 2009

Theme Comment

Chinese figures again disappointing: Ind. Prod. YoY out at 7.3% vs. 8.6% expected. Foreign Business Registrations in China dropped 41%. According to the National Assoc. of Realtors: US Home Prices dropped the most on record in Q1, down 14%. No stabilization there. 6.3% of all US mortgages are seriously (+90 days) delinquent. Stocks again closed lower in the US, but not much – some buyers around 900. Beware of Retail Sales today. We believe that the numbers will disappoint, showing a contraction of 0.5% in both Headline and ex Autos. That could trigger more downside for stocks. Economic Data Releases Country Time (GMT) UK 09:30 US 12:30 US 14:00

Name Bank of England Inflation Report Advance Retail Sales Less Autos (APR) Business Inventories (MAR)

FX EURUSD EURJPY USDJPY GBPUSD EURNOK

Comment 1.3725-35 res crucial for test of 1.3820+. May hold. Suppt at 1.3625 Seen capped at 132.50-70 for a re-test of y’day’s low 130.75 Up-move likely limited to 96.75-97.00 for reversal down to 95.50-60 Seen capped at 1.5350 for retracement down to 1.5200-25 suppt Expect temp cap at 0.7710-20 to hold with a slow drift lower to 0.7600 lvl

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

Expectation 0.2% -1.1%

Prior -0.9% -1.3%

Comment

FX-Options

Comment

EURUSD

The curve is largely unchanged with the dollar selloff in early Asian session. We are likely to see spot continuing to grind higher or settle into a range. Market started to panic on the move in spot lower and paid up front end along with the Risk reversals. Likely to see continued nervousness on the downside. Vols are better supported today but gamma should come under pressure should spot fail To break new ground. Mid curve still finds buyers .

USDJPY AUDUSD

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

Comment Sell at the break of 4833 targeting 4773. S/L above 4885. Sell at the break of 4410 targeting 4378 initially, 4330 finally. S/L above 4450. Sell at the break of 903 targeting 888. S/L above 910.

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

Comment Buy around 925 and target 936. Stop below 919. Buy around 14.30 and target 14.60. Stop below 14.15. Sell at the break of 59.20 and target 58.00. Stop above 59.70.

Earnings Releases Time (GMT) Country (G(GMT)(GM UK FR T)15:45 US Bef-Mkt

Name First Group Vallourec Macy’s

EPS exp. 0.478 3.280 -0.197

EPS prior 0.410 4.870 1.008

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

01-jan

01-mar

01-maj

01-jul

01-sep

01-nov

01-jan

01-mar

01-maj

40 13-05-2008

13-07-2008

13-09-2008

13-11-2008

13-01-2009

13-03-2009

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 107. 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 maj-07

jul-07

sep-07

nov-07

jan-08

mar-08

EUR-USD OPT VOL 1W

maj-08

jul-08

EUR-USD OPT VOL 1M

sep-08

nov-08

jan-09

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