Daily Trading Stance

Theme Comment

Tuesday, September 29, 2009

Signs of risk-appetite: USD and JPY weakening again. HYG posting a strong candle and making new highs. Stocks are higher in a strong reversal and we maintain our short-term stance of “buy-on-dips”. One caveat: Today’s Conference Board Consumer Confidence is expected at 57, but the weekly ABC Consumer Confidence has not been improving noticeably in the past weeks. Expect a slight disappointment. Look out for DAX upside, could be boosted by the positive election outcome.
Economic Data Releases Country Time (GMT) UK 08:30 US 13:00 US 14:00 FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options GBPUSD EURGBP USDJPY Daily stance 0/0/0/0/0/+

Name GDP QoQ (2Q) CaseShiller Home Price Index YoY (JUL) Consumer Confidence (SEP)

Expectation -0.6% -14.20% 57.0

Prior -0.7% -15.44% 54.1

Comment

Comment Likely to find res around the 1.4650-70 area for a test of 1.4550. Stop abv 1.4730. Res at 90.10-20 holding. Expect a retracement back to 89.25. Break abv res at 131.70 sees 132.40-50 else we stay 130.50 -131.80. Should find res at 1.5950 area for a re-test of Monday lows near 1.5775. Expect a squeeze up to 0.88. After that ranging 0.8725 – 0.88. Comment US investment bank paid the curve in good amounts. Risk reversals are bid as well so look for spot to head towards 1.55 in the next few weeks. Middle and back end vega paid again today. 6m atm was up about 0.5 vols on Friday and up another 0.8 vols yesterday. Should see the pair head towards 0.95. Vols eased off slightly after a wild session on Monday but buyers are still seen supporting the curve and the gamma sellers have not been as aggressive.

Equities DAX FTSE S&P500 Nasdaq100 Dow Jones Commodities Gold Silver Oil (CLX9)

Daily stance 0/+ 0/+ 0/+ 0/+ 0/+ Daily Stance 0/+ 0/+ 0/+

Comment Buy around 5724 targeting 5780. S/L below 5695. Buy around 5155 targeting 5210. S/L below 5125. Buy around 1060 targeting 1068. S/L below 1056.

Comment Buy on dips towards 988 and target 999. Stop below 984. Buy at the break of 16.30 and target 16.50. Stop below 16.20. Buy on dips towards 66.50 and target 68.25. Stop below 65.80.

Earnings Releases Time (GMT) Country (G(GMT)(G US 16:15 MT)

Name Nike Inc.

EPS exp. 0.971

EPS prior 1.000

Comment Q1 2010

Daily Trading Stance
US Breakeven 10 Year
3
2.5

Top 100 Global Stocks CDS Index
140

120

2
100

1.5

1

80

0.5
60

0

-0.5 20-maj 20-jul 20-sep 20-nov 20-jan
US B re ake ve n 1 Ye ar 0

20-mar

20-maj

20-jul

20-sep

40 30-09-2008

30-11-2008

30-01-2009

30-03-2009
Saxo CDS Index

30-05-2009

30-07-2009

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 53.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
7 6 5

EURUSD Opt. Vol.
35 30

25
4

20
3

15
2

10
1

5

0 feb-08 maj-08 aug-08 nov-08 feb-09 maj-09 aug-09

0
sep-07 nov-07 jan-08 mar-08 maj-08 jul-08
EUR -USD OP T VOL1 W

sep-08
EUR -USD OP T VOL1 M

nov-08
EUR -USD OP T VOL1 Y

jan-09

mar-09

maj-09

jul-09

sep-09
M o o d y B A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d M o o d y A A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d

Volatility at different time horizons. Too low, now?

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

CEE-German Govt. Bond Spreads
12
50 45

CBOE SPX VOLATILITY INDEX
40 35

10

8
30

6

25
20

4

15 10

2
5

0 dec-08 jan-09 feb-09 mar-09 apr-09
GDM A Hungar i n a - Ger m an

0

maj-09
CzechRepubl c i - Ger m an Pol nd - Ger m an a

jun-09

jul-09

aug-09

sep-09

mar-09

apr-09

maj-09

jun-09
C B OE SP X V O LATILITY IN DX

jul-09

aug-09

sep-09

The VIX Index is now at 25.

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