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Wednesday, August 19, 2009
Yesterday’s ZEW Survey showed a healthy improvement over the figures from July, but failed to support the EUR. US PPI continues to confirm our deflationary/disinflationary scenario with a YoY headline decrease of 6.8%. The decline in stocks will resume today after a bounce higher yesterday, as we are seeing more signs of risk-reduction overnight: The JPY is higher, Treasury futures are higher, CDS/iTraxx are higher (even yesterday) and the AUD is under pressure. The Shanghai Composite furthermore tumbled another 3.5% lower.
Economic Data Releases Country Time (GMT) UK 08:30 EC 09:00 CA 11:00 FX EURUSD EURJPY USDJPY GBPUSD AUDUSD FX-Options EURUSD Daily stance 0/0/0 0 0/-
Name Bank of England Minutes Construction Output MoM (JUN) Consumer Price Index MoM (JUL)
Prior -2.0% 0.3%
Comment Struggling to breach 1.42. Likely ranging 1.4110-1.4190, 1.4050-1.4220 behind Break of 133.50 now targets 132.50 en-route 130.0. Res now strong at 134.50 Expect range trading 94.30-95.20. Suppt at 94.10-40 area looks strong Ranging 1.65-1.66. Sell/Buy breakout either way for 1.6425/1.6670 resp. BOE minutes may tempt downside. Res at 0.8305-20 expected to hold for a re-test of 0.8235-40. Review abv 0.8380 Comment
Frontend vols softer yesterday and RR trading around par along the curve. Expect spot to stay in range, but a break of 1.40-1.43 would like see a spike in implied vol.
Equities DAX FTSE S&P500 Nasdaq100 Dow Jones Commodities Gold Silver Oil
Daily stance 0/0/0/0/0/Daily Stance 0/0/-
Comment Sell at the break of 5233 targeting 5192. S/L above 5252. Sell at the break of 4669 targeting 4628. S/L above 4690. Sell at the break of 986 targeting 978. S/L above 990. Sell at the break of 1579 targeting 1563. S/L above 1590.
Comment Sell on rallies towards 942 and target 932. Stop above 946. Sell at the break of 13.80 and target 13.50. Stop above 13.95. Sell around 69.50 and target 67.70. Stop above 70.70.
Earnings Releases Time (GMT) Country (G(GMT)(G US Bef-Mkt MT)
Name Deere & Co.
EPS exp. 0.564
EPS prior 1.320
Daily Trading Stance
US Breakeven 10 Year
Top 100 Global Stocks CDS Index
-0.5 09-apr 09-jun 09-aug 09-okt 09-dec
US Breakeven 1 0 Year
Saxo CDS Index
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 58.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
7 6 5
EURUSD Opt. Vol.
0 dec-07 mar-08 jun-08 sep-08 dec-08 mar-09 jun-09
0 aug-07 okt-07 dec-07 feb-08 apr-08 jun-08
EUR-USD OPT VOL 1W
EUR-USD OPT VOL 1M
EUR-USD OPT VOL 1Y
Moody BAA - US Generic Govt 30 Year Yield Moody AAA - US Generic Govt 30 Year Yield
Volatility at different time horizons. Too low, now?
Spreads are easing, but still showing tight corporate debt markets.
CEE-German Govt. Bond Spreads
CBOE SPX VOLATILITY INDEX
0 okt-08 nov-08 dec-08 jan-09 feb-09
G DMA H ungarian - G erman
Cz ech Republic - G erman
Poland - G erman
CBOE SPX VOLATILITY INDX
The VIX Index is heading lower, now at 26.
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