Daily Trading Stance - 2009_06_05
This document was uploaded by user and they confirmed that they have the permission to share it. If you are author or own the copyright of this book, please report to us by using this DMCA report form. Report DMCA
Overview
Download & View Daily Trading Stance - 2009_06_05 as PDF for free.
More details
- Words: 686
- Pages: 2
Daily Trading Stance
Friday, June 05, 2009
Theme Comment
Considerably turnaround in markets yesterday. Commodities roared back, Treasuries made new lows, Stocks edged higher, Itraxx/CDSs edged lower. In short: The reflation trade is still on. S&P500 still didn’t break the trendline resistance (today at 944) or 200 DMA (today at 920), but Nasdaq is strong and the reflation theme is likely to push stocks higher, although we believe that it is fundamentally unwarranted. According to the USDA, one in nine Americans are now receiving food stamps from the government and the so-called US U6 unemployment rate (incl. marginally attached and part-time jobs) is now at 15.6%. Watch out for the labor market data (NFP) today. Better than expected figures could push the S&P500 through the 944 level. Economic Data Releases Country Time (GMT) UK 08:30 US 12:30 US 12:30
Name PPI Output MoM (MAY) Nonfarm Payrolls MoM Change (MAY) Unemployment Rate SA (MAY)
FX EURUSD EURJPY USDJPY GBPUSD AUDUSD
Comment NFP to dictate n/term direction. Ranging 1.4125-1.4225, prefer shorts Seen ranging 136.50-138.00. Res looks strong Look to sell rallies abv 97.0 for a test sub-96.00 lvls. Stop abv 97.75 Looks shaky after y’day’s dive. Sell rallies to 1.6150-65 for 1.60 Res at 0.8075-90. Look to sell rallies for a test of 0.7900. Stop abv 0.8100
Daily stance 0/0 0/0/-
FX-Options EURUSD USDJPY AUDUSD
Expectation 0.4% -520K 9.2%
Prior 0.6% -539K 8.9%
Comment
Comment Vols are still well supported and spot is not holding above 1.42.Risk reversals are now favouring EUR puts so likely to see a correction before the next push higher. Vols are offered as spot refuses to move out of recent ranges. Market seems to be mostly short here so don’t expect must from spot before the payrolls number. Gamma been given this session as the market gets rid of decay before the weekend. Mid curve upside (8300-8500) still sees a few buyers so uptrend looks to be intact.
Equities Daily stance DAX 0/+ FTSE 0/+ S&P500 0/+ Nasdaq100 0 Nikkei 0
Comment Buy around 5055-5075 and target 5130. Stop below 5030. Buy on dips towards 4333 and target 4414. Stop below 4300. Buy at the break of 944 trendline resistance and target 955. Stop below 939. Neutral, if no break in S&P500.
Commodities Daily Stance Gold 0/+ Silver + Oil 0/+
Comment Buy on dips towards 972 and target 988. Stop below 966. Buy around 16 and target 16.25. Stop below 15.85. Buy at the break of 69.60 and target 71. Stop below 69.
Earnings Releases Time (GMT) Country (G(GMT)(GM UK 09:00 T)
Name The Carphone Warehouse Group
EPS exp. 0.272
EPS prior 0.130
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-jan
25-mar
25-maj
25-jul
25-sep
25-nov
25-jan
25-mar
25-maj
40 06-06-2008
06-08-2008
06-10-2008
06-12-2008
06-02-2009
06-04-2009
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 83. 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
aug-08
0 sep-08
okt-08
nov-08
dec-08
GDMA Hungarian - German
jan-09 Czech Republic - German
feb-09
mar-09
apr-09
maj-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 30.
1
Friday, June 05, 2009
Theme Comment
Considerably turnaround in markets yesterday. Commodities roared back, Treasuries made new lows, Stocks edged higher, Itraxx/CDSs edged lower. In short: The reflation trade is still on. S&P500 still didn’t break the trendline resistance (today at 944) or 200 DMA (today at 920), but Nasdaq is strong and the reflation theme is likely to push stocks higher, although we believe that it is fundamentally unwarranted. According to the USDA, one in nine Americans are now receiving food stamps from the government and the so-called US U6 unemployment rate (incl. marginally attached and part-time jobs) is now at 15.6%. Watch out for the labor market data (NFP) today. Better than expected figures could push the S&P500 through the 944 level. Economic Data Releases Country Time (GMT) UK 08:30 US 12:30 US 12:30
Name PPI Output MoM (MAY) Nonfarm Payrolls MoM Change (MAY) Unemployment Rate SA (MAY)
FX EURUSD EURJPY USDJPY GBPUSD AUDUSD
Comment NFP to dictate n/term direction. Ranging 1.4125-1.4225, prefer shorts Seen ranging 136.50-138.00. Res looks strong Look to sell rallies abv 97.0 for a test sub-96.00 lvls. Stop abv 97.75 Looks shaky after y’day’s dive. Sell rallies to 1.6150-65 for 1.60 Res at 0.8075-90. Look to sell rallies for a test of 0.7900. Stop abv 0.8100
Daily stance 0/0 0/0/-
FX-Options EURUSD USDJPY AUDUSD
Expectation 0.4% -520K 9.2%
Prior 0.6% -539K 8.9%
Comment
Comment Vols are still well supported and spot is not holding above 1.42.Risk reversals are now favouring EUR puts so likely to see a correction before the next push higher. Vols are offered as spot refuses to move out of recent ranges. Market seems to be mostly short here so don’t expect must from spot before the payrolls number. Gamma been given this session as the market gets rid of decay before the weekend. Mid curve upside (8300-8500) still sees a few buyers so uptrend looks to be intact.
Equities Daily stance DAX 0/+ FTSE 0/+ S&P500 0/+ Nasdaq100 0 Nikkei 0
Comment Buy around 5055-5075 and target 5130. Stop below 5030. Buy on dips towards 4333 and target 4414. Stop below 4300. Buy at the break of 944 trendline resistance and target 955. Stop below 939. Neutral, if no break in S&P500.
Commodities Daily Stance Gold 0/+ Silver + Oil 0/+
Comment Buy on dips towards 972 and target 988. Stop below 966. Buy around 16 and target 16.25. Stop below 15.85. Buy at the break of 69.60 and target 71. Stop below 69.
Earnings Releases Time (GMT) Country (G(GMT)(GM UK 09:00 T)
Name The Carphone Warehouse Group
EPS exp. 0.272
EPS prior 0.130
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-jan
25-mar
25-maj
25-jul
25-sep
25-nov
25-jan
25-mar
25-maj
40 06-06-2008
06-08-2008
06-10-2008
06-12-2008
06-02-2009
06-04-2009
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 83. 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
aug-08
0 sep-08
okt-08
nov-08
dec-08
GDMA Hungarian - German
jan-09 Czech Republic - German
feb-09
mar-09
apr-09
maj-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 30.
1
Related Documents
Daily Trading Stance - 2009_05_05
May 2020 3
Daily Trading Stance - 2009_06_17
May 2020 2
Daily Trading Stance - 2009_06_16
May 2020 5
Daily Trading Stance - 2009_05_08
May 2020 3
Daily Trading Stance - 2009_05_04
May 2020 3
Daily Trading Stance - 2009_06_05
May 2020 5More Documents from "Trading Floor"
Us Residential Mortgage Report
May 2020 0
Daily Trading Stance - 2009-09-25
June 2020 0
Daily Trading Stance - 2009-10-15
June 2020 0
Daily Trading Stance - 2009-10-09
June 2020 0
Daily Trading Stance - 2009_05_13
May 2020 1