Daily Trading Stance - 2009_06_17

Daily Trading Stance

Wednesday, June 17, 2009

Theme Comment The S&P500 closed down at 912 after Obama’s pledge to overhaul the financial regulation of especially financial shares. These shares led the market higher since March and they could be in for a real rollercoaster ride in the coming weeks. Obama also said that unemployment might reach 10% this year (which is obviously true, but a deviation from the past assertions). Watch out for US CPI figures today. We believe that they will confirm our deflationary/disinflationary scenario. Economic Data Releases Country Time (GMT) UK 08:30 EC 09:00 US 12:30

Name BoE Minutes Construction Output MoM (APR) CPI YoY (MAY)

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment 1.3800 proved solid support at head and shoulders neckline, EURUSD climbing steadily Look to sell 134.50 as we think it could bounce higher before heading lower again Sideways action expected, remain rangebound 96.00 and 96.80 Looking to sell around 1.6450-70 area looking for more downside Sell near resistance around 0.9750, looking for a break below 0.7880 and below.

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

FX-Options EURUSD USDJPY AUDUSD

Expectation -0.9%

Prior -1.0% -0.7%

We expect -1.0%.

Comment Vols are slightly higher with a continuing interest in EUR calls. Front end was a bit of a mix. with a few aggressive buyers of 1.45 EUR calls. Yen vols turned quickly bid early in the session as spot tested under 9600. Offers quickly came back as spot rebounded. Likely to see spot lower over the next week. Vols relatively well supported but sellers have been quick to appear on the spot rallies. Goldman was noted aggressive buyers of short date AUD puts.

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

Comment Sell at the break of 4889 targeting 4800. S/L above 4935. Sell at the break of 4300 targeting 4188. S/L above 4375. Sell at the break of 908 targeting 895. S/L above 915.

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

Comment Buy on dips towards 931 and target 943. Stop below 925 Buy on dips towards 14.10 and target 14.37. Stop below 13.95. Sell at the break of 69.58 and target 68. Stop above 70.

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

Comment

Name

EPS exp.

EPS prior

Comment

Daily Trading Stance Top 100 Global Stocks CDS Index

US Breakeven 10 Year

140

3

2,5 120

2 100

1,5

1

80

0,5 60

0

-0,5 05-feb

05-apr

05-jun

05-aug

05-okt

05-dec

05-feb

05-apr

05-jun

40 18-06-2008

18-08-2008

18-10-2008

US Breakeven 10 Year

18-12-2008

18-02-2009

18-04-2009

Saxo CDS Index

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 81.

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

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 jun-07

aug-07

okt-07

dec-07

feb-08

apr-08

EUR-USD OPT VOL 1W

jun-08

aug-08

EUR-USD OPT VOL 1M

okt-08

dec-08

feb-09

apr-09

jan-08

apr-08

jul-08

okt-08

jan-09

apr-09

jun-09 Moody BAA - US Generic Govt 30 Year Yield

EUR-USD OPT VOL 1Y

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 80

12

70

10 60

8

50 40

6

30

4 20

2

10 0

0 aug-08

sep-08

okt-08

nov-08

dec-08

jan-09

feb-09

mar-09

apr-09

maj-09

nov-08

dec-08

jan-09

mar-09

apr-09

maj-09

jun-09

CBOE SPX VOLATILITY INDX GDMA Hungarian - German

Czech Republic - German

Poland - German

Some optimism after the G20 meeting. Especially for Hungary.

The VIX Index is now edging higher. Above 30 again.

1