Daily Trading Stance Monday, December 14, 2009
Theme Comment
Abu Dhabi has pledged $10bn to the state-owned Dubai World to help the company meet its obligations. Risk
appetite increased on the news and stock futures are up.
Retail Sales from the US came out slightly better than expected when revisions are taken into account. Business
Inventories rose 0.2% led by wholesalers and manufacturers and points to another positive contribution from
inventories to Q4 GDP out on the 22nd of December.
There are plenty of data out the next 9 days with today being the exception. The next couple of days we will have
both US PPI, US Industrial Production, US CPI, and the FOMC meeting.
Economic Data Releases
Country Time (GMT) Name Saxo Consensus Prior
EC 10:00 Industrial Production MoM (OCT) -0.7% 0.3%
CA 13:30 Capacity Utilization Rate (Q3) 66.9% 67.4%
FX Daily stance Comment
EURUSD 0/- Chance rally stalls ahead of 1.4695-1.4710 res for a relook at sub-1.46 lvls. Abv 1.4735 tgts 1.4775.
USDJPY 0 Look for consolidation within 88.45-89.00 parameters. Break abv targets 89.80 again.
EURJPY 0 Consolidating between 129.50 -130.60. N/term prefer buying dips, stop below 129.10.
GBPUSD 0/- 1.6345 next crucial res but seen holding for 1.6270 target. Stop abv 1.6405.
AUDUSD 0/+ Look for more upside, likely targeting 0.9165. Reconsider below 0.9070.
FX-Options Comment
EURUSD Vols were sold on Friday and having come off a fair bit towards the end of last week, we
should expect short date strikes to be supported over the FOMC event risk.
USDJPY Vols opened the session lower but saw front end getting paid as spot dips under 8900
in Tokyo. 1w is up over a vol and mid curve is also seeing strong bids.
AUDUSD Gamma continues to be sold this morning and bids are drying up. With front end at such
low levels, a more pronounced move in spot is needed to lift vols.
Equities Daily stance Comment
DAX 0/- Sell on rallies towards 5802 targeting 5766. S/L above 5818.
FTSE 0/- Sell on rallies towards 5300 targeting 5270. S/L above 5319.
S&P500 0/- Sell on rallies towards 1111 targeting 1105. S/L above 1114.
NASDAQ100 0/- Sell on rallies towards 1800 targeting 1792. S/L above 1808.
DJIA 0/-
Commodities Daily Stance Comment
Gold 0/- Sell rallies to 1,130 res for 1,110 target, stop abv 1,143.
Silver 0/- Expect res at 17.30-31 to hold for retracement back to 17.05, stop abv 17.45.
Oil (CLF0) 0/- Look to sell rally to 69.80 for a test of 69.00 again. Stop abv 70.30.
Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(GMT
)
Daily Trading Stance
Top 100 Global Stocks CDS Index
US Breakeven 10 Year 140
2,5
2 120
1,5
100
80
0,5
60
0
-0,5
40
04-aug 04-okt 04-dec 04-feb 04-apr 04-jun 04-aug 04-okt 04-dec
15-12-2008 15-02-2009 15-04-2009 15-06-2009 15-08-2009 15-10-2009
US Breakeven 10 Year Saxo CDS Index
USD breakeven 10 Year – an expression for measuring Credit Default Swaps are expressions for the
inflation expectations. perceived default risk in a company. Now at 50.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7
30 6
25 5
20 4
15 3
2
10
1
5
0
0
apr-08 jul-08 okt-08 jan-09 apr-09 jul-09 okt-09
dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09 aug-09 okt-09 dec-09
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
12 35
30
10
25
8
20
6
15
4
10
2 5
0
0
maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09
feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German
The VIX Index is now at 22.
1
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