Daily Trading Stance - 2010-01-06

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Daily Trading Stance
Theme Comment

Wednesday, January 06, 2010

Strong Factory Orders and Vehicle Sales in the US yesterday. Corporate Bonds Spreads and CDS prices still favoring risk, although the USD went higher (new correlation regime). The EURCHF is continuing lower again despite the fact that the Greece CDS price dropped 30 bps. yesterday. ADP Employment Change and ISM Non-Manufacturing are key today. It would be a symbolic event if ISM NM comes out above 50 (i.e. in expansion). Stocks would rally, but beware that the FOMC Minutes are released later today and they might be somewhat downbeat.
Economic Data Releases Country Time (GMT) US 13:15 US 15:00 US 19:00 FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options EURUSD USDJPY AUDUSD Daily stance 0/0/+ 0/0/0/-

Name ADP Employment Change (DEC) ISM Non-Manufacturing (DEC) Minutes of FOMC Meeting (DEC. 15-16)

Saxo 49.8

Consensus -75K 50.5

Prior -169K 48.7

Comment Look to sell rebound to 1.4380 for retracement back to 1.4300. Stop abv 1.4415. Still buy dips while abv 91.40, targeting 92.15then 92.50. Stop below 91.10. While holding below 132.25 chance we retrace back to 131.40, poss 130.80. Sell rallies abv 1.60 for a break below 1.5950 to target 1.59, poss 1.5880. Stop abv 1.6060. While holding below recent high at 0.9175 look to sell, target 0.9090 then 0.9020. Stop abv 0.9210. Comment Vols seemed to have stabilized following the stronger dollar and the risk reversals continue to get sold so unless spot manages to surprise, expect vols to ease. 1w and under still rather well supported given the amount of event risk this week but further out, plenty of vega supply forces the curve lower. Vols are lower this morning with noted selling interest in the middle of the curve. Saw some interest in buying upside 9200 and beyond strikes for next week.

Equities DAX FTSE S&P500 NASDAQ100 DJIA Commodities Gold Silver Oil (CLG0)

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

Comment Buy on dips towards 6,005 and target 6,057. Stop below 5,982. Buy around 5,490 and target 5,535. Stop below 5,470. Buy on dips towards 1,132 and target 1,139. Stop below 1,129.

Comment Buy dips to 1,120 for 1,132 target, poss 1,142. Stop below 1,115. Prefer longs to target 18.0 then 18.15. Stop below 17.65. 82.20-25 still as target while holding abv 81.0. Buy dips, stop below 80.80.

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 27-aug 27-okt 27-dec 27-feb 27-apr
US Breakeven 10 Year

27-jun

27-aug

27-okt

27-dec

40 07-01-2009

07-03-2009

07-05-2009

07-07-2009

07-09-2009

07-11-2009

Saxo CDS Index

USD breakeven 10 Year – an expression for measuring inflation expectations.
EURUSD Opt. Vol.
35 30 25 20 15 10 5 0
12-07 03-08 05-08 07-08 09-08 11-08 01-09 03-09 05-09 07-09 09-09 11-09 01-10
7
6

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 43.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries

5

4

3

2

1

0 maj-08 aug-08 nov-08 feb-09 maj-09 aug-09 nov-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?
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 19.

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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.

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