Daily Trading Stance - 2010-01-14
The market received some good news from Australia overnight with the change in employment coming in at 35.2K vs. 10.0K expected resulting in an unemployment rate of 5.5% (5.8% expected).
Content
Daily Trading Stance
Theme Comment
Thursday, January 14, 2010
The Fed’s Beige Book indicates that things are improving in the US economy. 10 of 12 districts saw improvements last month. In addition, holiday-season shopping is reported to have been slightly better in 2009 than in 2008. Wholesale Inventories increased no less than 1.5% in NOV following a 0.6% increase in OCT, and with these making up around 25% of business inventories we should see a fairly strong number today. A good labour report from Australia (unemployment rate at 5.5% vs. 5.8% expected), Dudley’s comment that rates may stay low for as low as two years, and our usually risk indicators point to another good day for risk. As always on a Thursday, watch out for jobless claims data at 13:30 (GMT).
Economic Data Releases Country Time (GMT) EC 12:45 US 13:30 US 13:30 FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options EURUSD USDJPY AUDUSD Daily stance 0/+ 0/0/+ 0/+ 0/+
Name ECB Interest Rates Retail Sales / Ex. Autos MoM (DEC) Business Inventories MoM (NOV)
Saxo 1.00% 0.8% / 0.4% 0.6%
Consensus 1.00% 0.5% / 0.3% 0.3%
Prior 1.00% 1.3% / 1.2% 0.2%
Comment 1.4580 seen holding initially. Wait for dip sub-1.45 to buy, or break abv 1.4595, for 1.4650. Stop Sell into 1.4430 rally up to 91.90 lvl for a re-test of 91.20. Stop abv 92.25 Buy dips to 133.20 suppt for a rebound back to 134.35 lvl. Stop below 132.75 Chance of deeper correction to 1.6225-35 before higher. Wait for dip, target 1.6360, below 1.62 defers to 0.9265 for a re-test of 0.9325, poss 0.9360. Stop below 0.92 Buy dips Comment Vols continued lower with 1w trading as low as 8.8 yesterday. We should generally expect front end to trade even lower after the ECB today. Vols creep lower yet again with spot now off the lows. The risk reversals are also offered so could imply an orderly move in spot higher towards 9300. Gamma collapses after the employment numbers. With spot back up to 9300, market is once again dumping vols ahead of the weekend.
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 6000 and target 6065. Stop below 5978. Buy on dips towards 5500 and target 5550. Stop below 5481. Buy on dips towards 1145 and target 1155. Stop below 1142.
Comment Sell break below 1,140, or rally to 1.147, for test of 1.133. Sell at 18.65 for n/t retracement to 18.45. Stop abv 18.85. While below 80.10 expect more downside. Sell here (79.93) for 77.45, stop abv 80.15.
Earnings Releases Time (GMT) Country (G(GMT)(GMT US Aft-Mkt )
Name Intel Corp
EPS exp. 0.303
EPS prior 0.340
Comment QoQ
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 04-sep 04-nov 04-jan 04-mar 04-maj
US Breakeven 10 Year
04-jul
04-sep
04-nov
04-jan
40 15-01-2009
15-03-2009
15-05-2009
15-07-2009
15-09-2009
15-11-2009
Saxo CDS Index
USD breakeven 10 Year – an expression for measuring inflation expectations.
EURUSD Opt. Vol.
35 30 25 20
15
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
10 5 0 01-08 03-08 05-08 07-08 09-08
EUR-USD OPT VOL 1W
2
1
0
11-08
01-09
03-09
05-09
07-09
09-09
11-09
01-10
maj-08
aug-08
nov-08
feb-09
maj-09
aug-09
nov-09
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
CBOE SPX VOLATILITY INDX
okt-09
nov-09
dec-09
GDMA Hungarian - German
Czech Republic - German
The VIX Index is now at 18.
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
Thursday, January 14, 2010
The Fed’s Beige Book indicates that things are improving in the US economy. 10 of 12 districts saw improvements last month. In addition, holiday-season shopping is reported to have been slightly better in 2009 than in 2008. Wholesale Inventories increased no less than 1.5% in NOV following a 0.6% increase in OCT, and with these making up around 25% of business inventories we should see a fairly strong number today. A good labour report from Australia (unemployment rate at 5.5% vs. 5.8% expected), Dudley’s comment that rates may stay low for as low as two years, and our usually risk indicators point to another good day for risk. As always on a Thursday, watch out for jobless claims data at 13:30 (GMT).
Economic Data Releases Country Time (GMT) EC 12:45 US 13:30 US 13:30 FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options EURUSD USDJPY AUDUSD Daily stance 0/+ 0/0/+ 0/+ 0/+
Name ECB Interest Rates Retail Sales / Ex. Autos MoM (DEC) Business Inventories MoM (NOV)
Saxo 1.00% 0.8% / 0.4% 0.6%
Consensus 1.00% 0.5% / 0.3% 0.3%
Prior 1.00% 1.3% / 1.2% 0.2%
Comment 1.4580 seen holding initially. Wait for dip sub-1.45 to buy, or break abv 1.4595, for 1.4650. Stop Sell into 1.4430 rally up to 91.90 lvl for a re-test of 91.20. Stop abv 92.25 Buy dips to 133.20 suppt for a rebound back to 134.35 lvl. Stop below 132.75 Chance of deeper correction to 1.6225-35 before higher. Wait for dip, target 1.6360, below 1.62 defers to 0.9265 for a re-test of 0.9325, poss 0.9360. Stop below 0.92 Buy dips Comment Vols continued lower with 1w trading as low as 8.8 yesterday. We should generally expect front end to trade even lower after the ECB today. Vols creep lower yet again with spot now off the lows. The risk reversals are also offered so could imply an orderly move in spot higher towards 9300. Gamma collapses after the employment numbers. With spot back up to 9300, market is once again dumping vols ahead of the weekend.
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 6000 and target 6065. Stop below 5978. Buy on dips towards 5500 and target 5550. Stop below 5481. Buy on dips towards 1145 and target 1155. Stop below 1142.
Comment Sell break below 1,140, or rally to 1.147, for test of 1.133. Sell at 18.65 for n/t retracement to 18.45. Stop abv 18.85. While below 80.10 expect more downside. Sell here (79.93) for 77.45, stop abv 80.15.
Earnings Releases Time (GMT) Country (G(GMT)(GMT US Aft-Mkt )
Name Intel Corp
EPS exp. 0.303
EPS prior 0.340
Comment QoQ
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 04-sep 04-nov 04-jan 04-mar 04-maj
US Breakeven 10 Year
04-jul
04-sep
04-nov
04-jan
40 15-01-2009
15-03-2009
15-05-2009
15-07-2009
15-09-2009
15-11-2009
Saxo CDS Index
USD breakeven 10 Year – an expression for measuring inflation expectations.
EURUSD Opt. Vol.
35 30 25 20
15
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
10 5 0 01-08 03-08 05-08 07-08 09-08
EUR-USD OPT VOL 1W
2
1
0
11-08
01-09
03-09
05-09
07-09
09-09
11-09
01-10
maj-08
aug-08
nov-08
feb-09
maj-09
aug-09
nov-09
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
CBOE SPX VOLATILITY INDX
okt-09
nov-09
dec-09
GDMA Hungarian - German
Czech Republic - German
The VIX Index is now at 18.
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
