Daily Trading Stance - 2010-01-05
Content
Daily Trading Stance
Theme Comment
Tuesday, January 05, 2010
Yesterday’s ISM figures were positive with ISM Manufacturing out at 55.9 (higher than expected). Market appears risk-willing, but there is something fishy going on in the high-yield funds PHK and DPO (both down more than 20%). HYG is still performing well, though, so we guess that it is something specific to PHK and DPO and not the HY universe as such. Other risk-indicators are positive: Credit spreads narrowing, CDS’s trending lower and Oil is higher, so we keep a “buy-on-dips” stance today.
Economic Data Releases Country Time (GMT) GE 08:55 US 15:00 US 15:00 FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options EURUSD USDJPY AUDUSD Daily stance 0/+ 0/+ 0/+ 0/+ 0/+
Name Unemployment Rate / Change (DEC) Factory Orders MoM (NOV) Pending Home Sales MoM (NOV)
Saxo 0.7%
Consensus 8.1% / 5K 0.5% -2.0%
Prior 8.1% / -7K 0.6% 3.7%
Comment Buy dips to 1.4420 for a test of 1.4520 en-route to 1.46+. Stop below 1.4350. Slippage can extend to 91.40 but would buy there for rebound to 92.25. Stop below 91.10. Look for suppt at 132.10 to hold for rebound to 133.10-20 area. Stop below 131.80. Look for rebound from sub-1.61 to extend to 1.6185-00 lvl. Below 1.6050 defers. While holding abv 0.9110, chance we extend rally to 0.92 but capped there n/term. Below sees 0 .9050. Comment Vols generally softer but there was interest to buy longer dated upside. Gamma is being offered along with the risk reversals so likely that ranges could be contained. Vols drifted lower but with spot breaking below 9200, we should see front end finding a base here. Still seeing decent bids for upside 2w-1m strikes. Curve inched lower steadily but gamma finds support. 1w has been well bid and other shortdate strikes are still looking undervalued compared to actual spot moves.
Equities DAX FTSE S&P500 NASDAQ100 DJIA Commodities Gold Silver Oil (CLG0)
Daily stance 0/+ 0/+ 0/+ 0/+
Comment Buy on dips towards 6030 and target 6086. Stop below 6005. Buy on dips towards 5485 and target 5530. Stop below 5460. Buy on dips towards 1129 and target 1139. Stop below 1125. Buy on dips towards 1881 and target 1898. Stop below 1873.
Daily Stance 0/+ 0/+ 0/+
Comment Buy on dips towards 1122 and target 1132. Stop below 1119. Buy at the break of 17.80 and target 18.00. Stop below 17.67. Buy on dips towards 80.80 and target 82.20. Stop below 80.
Earnings Releases Time (GMT) Country (G(GMT)(GMT )
Name
EPS exp.
EPS prior
Comment
Daily Trading Stance
US Breakeven 10 Year
3 2,5
120
Top 100 Global Stocks CDS Index
140
2
100
1,5
1
80
0,5
60
0
-0,5 26-aug 26-okt 26-dec 26-feb 26-apr
US Breakeven 10 Year
26-jun
26-aug
26-okt
26-dec
40 06-01-2009
06-03-2009
06-05-2009
06-07-2009
06-09-2009
06-11-2009
Saxo CDS Index
USD breakeven 10 Year – an expression for measuring inflation expectations.
EURUSD Opt. Vol.
35 30 25 20 15 10 5 0
01-10 12-09 11-09 10-09 09-09 08-09 07-09 06-09 05-09 04-09 03-09 02-09 01-09 12-08 11-08 10-08 09-08 08-08 07-08 06-08 05-08 04-08 03-08 02-08 01-08
EUR-USD OPT VOL 1W EUR-USD OPT VOL 1M EUR-USD OPT VOL 1Y
Credit Default Swaps are expressions for the perceived default risk in a company. Now at 44.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
7
6
5
4
3
2
1
0 maj-08 aug-08 nov-08 feb-09 maj-09 aug-09 nov-09
Moody BAA - US Generic Govt 30 Year Yield
Moody AAA - US Generic Govt 30 Year Yield
Volatility at different time horizons. Too low, now?
CEE-German Govt. Bond Spreads
10 9
30 35
Spreads are easing, but still showing tight corporate debt markets.
CBOE SPX VOLATILITY INDEX
8 7 6 5
15 25
20
4 3 2 1 0 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09
Poland - German
10
5
0
nov-09
dec-09
jun-09
jul-09
aug-09
sep-09
okt-09
nov-09
dec-09
GDMA Hungarian - German
Czech Republic - German
CBOE SPX VOLATILITY INDX
The VIX Index is now at 20.
1
General
These pages contain information about the services and products of Saxo Bank A/S (hereinafter referred to as “Saxo Bank”). The material is provided for informational purposes only without regard to any particular user's investment objectives, financial situation, or means. Hence, no information contained herein is to be construed as a analysis; or an offer to buy or sell; or the solicitation of an offer to buy or sell any security, financial product, or instrument; or to participate in any particular trading strategy in any jurisdiction in which such an offer or solicitation, or trading strategy would be illegal. Saxo Bank does not guarantee the accuracy or completeness of any information or analysis supplied. Saxo Bank shall not be liable to any customer or third person for the accuracy of the information or any market quotations supplied through this service to a customer, nor for any delays, inaccuracies, errors, interruptions or omissions in the furnishing thereof, for any direct or consequential damages arising from or occasioned by said delays, inaccuracies, errors, interruptions or omissions, or for any discontinuance of the service. Saxo Bank accepts no responsibility or liability for the contents of any other site, whether linked to this site or not, or any consequences from your acting upon the contents of another site. Opening this website shall not render the user a customer of Saxo Bank nor shall Saxo Bank owe such users any duties or responsibilities as a result thereof.
Analysis Disclosure & Disclaimer Risk warning
Saxo Bank A/S shall not be responsible for any loss arising from any investment based on any analysis, forecast or other information herein contained. The contents of this publication should not be construed as an express or implied promise, guarantee or implication by Saxo Bank that clients will profit from the strategies herein or that losses in connection therewith can or will be limited. Trades in accordance with the analysiss in an analysis, especially leveraged investments such as foreign exchange trading and investment in derivatives, can be very speculative and may result in losses as well as profits, in particular if the conditions mentioned in the analysis do not occur as anticipated.
2
Theme Comment
Tuesday, January 05, 2010
Yesterday’s ISM figures were positive with ISM Manufacturing out at 55.9 (higher than expected). Market appears risk-willing, but there is something fishy going on in the high-yield funds PHK and DPO (both down more than 20%). HYG is still performing well, though, so we guess that it is something specific to PHK and DPO and not the HY universe as such. Other risk-indicators are positive: Credit spreads narrowing, CDS’s trending lower and Oil is higher, so we keep a “buy-on-dips” stance today.
Economic Data Releases Country Time (GMT) GE 08:55 US 15:00 US 15:00 FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options EURUSD USDJPY AUDUSD Daily stance 0/+ 0/+ 0/+ 0/+ 0/+
Name Unemployment Rate / Change (DEC) Factory Orders MoM (NOV) Pending Home Sales MoM (NOV)
Saxo 0.7%
Consensus 8.1% / 5K 0.5% -2.0%
Prior 8.1% / -7K 0.6% 3.7%
Comment Buy dips to 1.4420 for a test of 1.4520 en-route to 1.46+. Stop below 1.4350. Slippage can extend to 91.40 but would buy there for rebound to 92.25. Stop below 91.10. Look for suppt at 132.10 to hold for rebound to 133.10-20 area. Stop below 131.80. Look for rebound from sub-1.61 to extend to 1.6185-00 lvl. Below 1.6050 defers. While holding abv 0.9110, chance we extend rally to 0.92 but capped there n/term. Below sees 0 .9050. Comment Vols generally softer but there was interest to buy longer dated upside. Gamma is being offered along with the risk reversals so likely that ranges could be contained. Vols drifted lower but with spot breaking below 9200, we should see front end finding a base here. Still seeing decent bids for upside 2w-1m strikes. Curve inched lower steadily but gamma finds support. 1w has been well bid and other shortdate strikes are still looking undervalued compared to actual spot moves.
Equities DAX FTSE S&P500 NASDAQ100 DJIA Commodities Gold Silver Oil (CLG0)
Daily stance 0/+ 0/+ 0/+ 0/+
Comment Buy on dips towards 6030 and target 6086. Stop below 6005. Buy on dips towards 5485 and target 5530. Stop below 5460. Buy on dips towards 1129 and target 1139. Stop below 1125. Buy on dips towards 1881 and target 1898. Stop below 1873.
Daily Stance 0/+ 0/+ 0/+
Comment Buy on dips towards 1122 and target 1132. Stop below 1119. Buy at the break of 17.80 and target 18.00. Stop below 17.67. Buy on dips towards 80.80 and target 82.20. Stop below 80.
Earnings Releases Time (GMT) Country (G(GMT)(GMT )
Name
EPS exp.
EPS prior
Comment
Daily Trading Stance
US Breakeven 10 Year
3 2,5
120
Top 100 Global Stocks CDS Index
140
2
100
1,5
1
80
0,5
60
0
-0,5 26-aug 26-okt 26-dec 26-feb 26-apr
US Breakeven 10 Year
26-jun
26-aug
26-okt
26-dec
40 06-01-2009
06-03-2009
06-05-2009
06-07-2009
06-09-2009
06-11-2009
Saxo CDS Index
USD breakeven 10 Year – an expression for measuring inflation expectations.
EURUSD Opt. Vol.
35 30 25 20 15 10 5 0
01-10 12-09 11-09 10-09 09-09 08-09 07-09 06-09 05-09 04-09 03-09 02-09 01-09 12-08 11-08 10-08 09-08 08-08 07-08 06-08 05-08 04-08 03-08 02-08 01-08
EUR-USD OPT VOL 1W EUR-USD OPT VOL 1M EUR-USD OPT VOL 1Y
Credit Default Swaps are expressions for the perceived default risk in a company. Now at 44.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
7
6
5
4
3
2
1
0 maj-08 aug-08 nov-08 feb-09 maj-09 aug-09 nov-09
Moody BAA - US Generic Govt 30 Year Yield
Moody AAA - US Generic Govt 30 Year Yield
Volatility at different time horizons. Too low, now?
CEE-German Govt. Bond Spreads
10 9
30 35
Spreads are easing, but still showing tight corporate debt markets.
CBOE SPX VOLATILITY INDEX
8 7 6 5
15 25
20
4 3 2 1 0 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09
Poland - German
10
5
0
nov-09
dec-09
jun-09
jul-09
aug-09
sep-09
okt-09
nov-09
dec-09
GDMA Hungarian - German
Czech Republic - German
CBOE SPX VOLATILITY INDX
The VIX Index is now at 20.
1
General
These pages contain information about the services and products of Saxo Bank A/S (hereinafter referred to as “Saxo Bank”). The material is provided for informational purposes only without regard to any particular user's investment objectives, financial situation, or means. Hence, no information contained herein is to be construed as a analysis; or an offer to buy or sell; or the solicitation of an offer to buy or sell any security, financial product, or instrument; or to participate in any particular trading strategy in any jurisdiction in which such an offer or solicitation, or trading strategy would be illegal. Saxo Bank does not guarantee the accuracy or completeness of any information or analysis supplied. Saxo Bank shall not be liable to any customer or third person for the accuracy of the information or any market quotations supplied through this service to a customer, nor for any delays, inaccuracies, errors, interruptions or omissions in the furnishing thereof, for any direct or consequential damages arising from or occasioned by said delays, inaccuracies, errors, interruptions or omissions, or for any discontinuance of the service. Saxo Bank accepts no responsibility or liability for the contents of any other site, whether linked to this site or not, or any consequences from your acting upon the contents of another site. Opening this website shall not render the user a customer of Saxo Bank nor shall Saxo Bank owe such users any duties or responsibilities as a result thereof.
Analysis Disclosure & Disclaimer Risk warning
Saxo Bank A/S shall not be responsible for any loss arising from any investment based on any analysis, forecast or other information herein contained. The contents of this publication should not be construed as an express or implied promise, guarantee or implication by Saxo Bank that clients will profit from the strategies herein or that losses in connection therewith can or will be limited. Trades in accordance with the analysiss in an analysis, especially leveraged investments such as foreign exchange trading and investment in derivatives, can be very speculative and may result in losses as well as profits, in particular if the conditions mentioned in the analysis do not occur as anticipated.
2
