Daily Trading Stance - 2009_06_16

Daily Trading Stance

Tuesday, June 16, 2009

Theme Comment S&P500 closed below an important trendline yesterday, but above the 200 DMA (909.86) The sell-off in equities/buying in bonds yesterday was spurred by two things: 1) ECB said that European banks face additional losses in the area of $283 bn. this year as the recession intensifies and more to come in 2010, 2) Empire manufacturing from the U.S. showing manufacturing is shrinking suggesting that the U.S. economy has months to go before hitting the bottom. Look for important macro numbers today from the US (industrial production and capacity utilization), Germany (ZEW-figures) and UK (inflation) Economic Data Releases Country Time (GMT) UK 08:30 GE 09:00 US 13:15

Name CPI YoY (MAY) ZEW Survey Econ. Sentiment (JUN) Industrial Production (MAY)

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment Selling rallies near 1.3820 area, targeting support of around 1.3750 and further down towards 1.3650 Finding some bids aound 133.30. We prefer sell rallies from here. Whipsaw around 96.60-97.00. Expect further downside as we favour JPY over the USD. Selling 1.6280 with stop above 1.280 bid, looking for 1.6100. Look for further equity/commodity sell off to see AUDUSD under further pressure.

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

FX-Options EURUSD

USDJPY

Expectation 2.0% 35.0 -1.0%

Prior 2.3% 31.1 -0.5%

Comment

Comment Front end vols were sold off yesterday with 1w down around 0.8 vols. Main focus has been around the 1.3750 level so likely to see spot continue to range around 1.38 for the next couple of sessions. 3m and out still sees buyers of EUR calls. Yen vols were paid up today on the back of the spot move Risk reversals followed along. The market has been pretty short downside so likely to see further short covering of vols and short gamma stop losses driving the market lower.

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

Comment Sell at the break of 4880 targeting 4814. S/L above 4930. Sell at the break of 4310 targeting 4250. S/L above 4355. Sell at the break of 917 targeting 900. S/L above 928.

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

Comment Gaining in tandem with USD strength, looking like a short term bottom here at 930 area. Buy at the break of 14.2884 targeting 14.4450. S/L below 14.24 Breaking $70 in asia session again and looks like it will be capped. Looking to sell towards 68.00

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

Name

EPS exp.

EPS prior

Comment

Daily Trading Stance Top 100 Global US Breakeven 10 Year 140

Stocks C

3

120

2,5

2

100

1,5 80

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 80.

USD breakeven 10 Year – an expression for measuring inflation 1 expectations. 60

AAA and BAA Corporate Bonds vs.

EURUSD Opt. Vol.

0,5

7

35

40 16-06-2008

0

16-08-2008

16-10-2008

16-12-2008

30 -0,5

25 04-feb

04-apr

04-jun

5 04-okt

04-aug

1

Saxo CDS Index

6

04-dec

04-feb

04-apr

04-jun

4 10 Year US Breakeven

20 3

15

Volatility at different time horizons. Too low, now?

Spreads are easing, but still showing tight corporate debt 2 markets.

10

1 CEE-German Govt. Bond Spreads CBOE SPX VOLATILIT

5 12

800

okt-07

0 10jun-07

aug-07

okt-07

dec-07

feb-08

apr-08

EUR-USD OPT VOL 1W

jun-08

70 aug-08

EUR-USD OPT VOL 1M

60

jan-08

okt-08

apr-08

dec-08

feb-09

EUR-USD OPT VOL 1Y Moody BAA -

apr-09

jul-08

jun-09

US Generic Govt 30 Year Yield

Moo

8

50 6

40

Some optimism after the G20 meeting. Especially for Hungary.

The VIX Index is edging lower. Now below 30. 30

4

20 2

10 0 aug-08

0 sep-08

okt-08

nov-08

dec-08

GDMA Hungarian - German

jan-09

feb-09 nov-08

Czech Republic - German

mar-09 dec-08 Poland - German

apr-09

maj-09 jan-09

jun-09 feb-09

m

CBOE SPX VOLATILITY INDX

1