Daily Trading Stance - 2009_05_20

Daily Trading Stance

Wednesday, May 20, 2009

Theme Comment

The rally in stocks stopped at the release of the US housing starts and building permits that both disappointed badly. We are getting very close to the 200 DMA (now 942) in S&P500 and believe that it will be “magnetic” in the next couple of days – i.e. buy on dips until we get a test. Japanese GDP out at abysmally -15.2% annualized – but slightly better than expected. Exports are down 50% YoY. Crude Oil may be close to a break higher – despite bearish inventory situation. Watch out for DOE storage today and Crude above 61.20. Economic Data Releases Country Time (GMT) UK 08:30 US 13:30 US 18:00

Name Bank of England Minutes Geithner testifies on TARP FOMC Minutes

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment Momentum stalls at 1.3650. See consolidation 1.3530-1.3650 Unable to hold 200-day MA at 131.0, now res. Ranging 129.50-131.0 Need to hold 95.10-15 suppt to preserve uptrend. Next res 96.20 200-day MA at 1.5550 may cap. 1.5420-50 nearest suppt. Consolidating. Buy dips to 0.7670-80 for test back to 0.7785 highs. Stop below 0.76

Daily stance 0 0 0/+ 0 0/+

Expectation -

Prior -

Comment

FX-Options

Comment

EURUSD

Front end vols are trading lower in the previous session. 1m and out remains unchanged so likely to see a correction back to 1.34. 1w was quickly given 12.25 early today and the whole curve quickly became bid as spot Dips to 95.45 low. Large 96.40 strike for today so might be a draw if spot is in the area. Vols are still not finding any support particularly the middle of the curve. Upside strikes still finding a few bids so likely to see spot well supported.

USDJPY AUDUSD

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

Comment Buy on dips targeting 5005. S/L below 4912. Buy on dips targeting 4525. S/L below 4447. Buy on dips targeting 920. S/L below 900.

Commodities Daily Stance Gold 0/+ Silver 0/+ Oil 0/+

Comment Buy on dips towards 925 and target 934. Stop below 921. Buy on dips towards 14.00 and target 14.30. Stop below 13.90. Buy at the break of 61.20 and target 62.80. Stop below 60.70.

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

Name Burberry Group PLC Deere & Co (John Deere) London Stock Exchange Groupo

EPS exp. 0.275 1.071 0.308

EPS prior 0.279 0.622 0.405

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

09-jan

09-mar

09-maj

09-jul

09-sep

09-nov

09-jan

09-mar

09-maj

40 21-05-2008

21-07-2008

21-09-2008

21-11-2008

21-01-2009

21-03-2009

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 100. 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 okt-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

jan-08

apr-08

jul-08

okt-08

jan-09

apr-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.

nov-08

dec-08

jan-09

feb-09

mar-09

apr-09

maj-09

CBOE SPX VOLATILITY INDX

The VIX Index is edging lower. Now below 40.

1