Daily Trading Stance - 2010-01-27
The Daily Trading Stance is published every day by Saxo Bank and sets the trading themes for the day. For more comment on FX, FX options, equities and commodities go to www.tradingfloor.com.
Content
Daily Trading Stance
Theme Comment
Wednesday, January 27, 2010
It is now more or less obvious that Bernanke will be reelected as Fed Chairman. That will be supporting risk, so we are looking for a bounce in the markets over the rest of the week. Furthermore, New Home Sales have the potential to surprise on the upside, so we recommend being long stocks and risk over the figures. Therefore we have a “buy on dips” stance for risk today – especially ahead of the FOMC Decision and Statement tonight.
Economic Data Releases Country Time (GMT) US 15:00 US 19:15
Name New Home Sales MoM (DEC) FOMC Rate Decision
Saxo 4.3%
Consensus 3.0% 0.25%
Prior -11.3% 0.25%
FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options EURUSD USDJPY AUDUSD
Daily stance 0 0 0 0/0/-
Comment Expect consolidation within 1.4020 – 1.4120 range. Await breakout. Seen ranging around 89.30 retracement lvl. Suggest 88.80-89.70 parameters. Capped at 126.35 but ranging 125.0-126.20. Look to sell rallies to 1.6160-70 area for a retracement back to 1.6085. Stop abv 1.6205. Prefer to sell rallies to 0.9050 for test of 0.8960, poss 0.8930 sht-term. Stop abv 0.9110. Comment Front end started off strong but later saw sellers as spot came off the lows and later found a base. There was also a buyer of 26 Mar 1.46 in 1 bio. Spot drops to 8915 and keeps vols well supported. No scramble for downside gamma but back end vega sees good bids along with the risk reversals. Vols remain bid throughout the Asian session. Market is rather long gamma in this spot range so front end likely to get offered if spot ends up above 9050 after the FOMC.
Equities DAX FTSE S&P500 NASDAQ100 DJIA Commodities Gold Silver Oil (CLH0)
Daily stance 0/+ 0/+ 0/+ 0/+ 0/+ Daily Stance 0/+ 0/0
Comment Buy on dips towards 5640 targeting 5680. S/L below 5625. Buy on dips towards 5250 targeting 5290. S/L below 5230. Buy on dips towards 1088 targeting 1100. S/L below 1084.
Comment Buy at the break of 1105 and target 1115. Stop below 1100. Sell at the break of 16.70 and target 16.50. Stop above 16.80. Neutral.
Earnings Releases Time (GMT) Country (G(GMT)(GMT US 07:30 US 07:30 ) US 08:30
Name Boeing Caterpillar ConocoPhilips
EPS exp. 1.361 0.280 1.140
EPS prior -2.220 0.440 1.020
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 17-sep 17-nov 17-jan 17-mar 17-maj
US Breakeven 10 Year
17-jul
17-sep
17-nov
17-jan
40 28-01-2009
28-03-2009
28-05-2009
28-07-2009
28-09-2009
28-11-2009
Saxo CDS Index
USD breakeven 10 Year – an expression for measuring inflation expectations.
EURUSD Opt. Vol.
35 30 25 20 15 10 5 0
01-08 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 50.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
5
4
3
2
1
0 jun-08 sep-08 dec-08 mar-09 jun-09 sep-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?
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
jul-09
aug-09
sep-09
okt-09
nov-09
dec-09
jan-10
GDMA Hungarian - German
Czech Republic - German
CBOE SPX VOLATILITY INDX
The VIX Index is now at 25.
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
Wednesday, January 27, 2010
It is now more or less obvious that Bernanke will be reelected as Fed Chairman. That will be supporting risk, so we are looking for a bounce in the markets over the rest of the week. Furthermore, New Home Sales have the potential to surprise on the upside, so we recommend being long stocks and risk over the figures. Therefore we have a “buy on dips” stance for risk today – especially ahead of the FOMC Decision and Statement tonight.
Economic Data Releases Country Time (GMT) US 15:00 US 19:15
Name New Home Sales MoM (DEC) FOMC Rate Decision
Saxo 4.3%
Consensus 3.0% 0.25%
Prior -11.3% 0.25%
FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options EURUSD USDJPY AUDUSD
Daily stance 0 0 0 0/0/-
Comment Expect consolidation within 1.4020 – 1.4120 range. Await breakout. Seen ranging around 89.30 retracement lvl. Suggest 88.80-89.70 parameters. Capped at 126.35 but ranging 125.0-126.20. Look to sell rallies to 1.6160-70 area for a retracement back to 1.6085. Stop abv 1.6205. Prefer to sell rallies to 0.9050 for test of 0.8960, poss 0.8930 sht-term. Stop abv 0.9110. Comment Front end started off strong but later saw sellers as spot came off the lows and later found a base. There was also a buyer of 26 Mar 1.46 in 1 bio. Spot drops to 8915 and keeps vols well supported. No scramble for downside gamma but back end vega sees good bids along with the risk reversals. Vols remain bid throughout the Asian session. Market is rather long gamma in this spot range so front end likely to get offered if spot ends up above 9050 after the FOMC.
Equities DAX FTSE S&P500 NASDAQ100 DJIA Commodities Gold Silver Oil (CLH0)
Daily stance 0/+ 0/+ 0/+ 0/+ 0/+ Daily Stance 0/+ 0/0
Comment Buy on dips towards 5640 targeting 5680. S/L below 5625. Buy on dips towards 5250 targeting 5290. S/L below 5230. Buy on dips towards 1088 targeting 1100. S/L below 1084.
Comment Buy at the break of 1105 and target 1115. Stop below 1100. Sell at the break of 16.70 and target 16.50. Stop above 16.80. Neutral.
Earnings Releases Time (GMT) Country (G(GMT)(GMT US 07:30 US 07:30 ) US 08:30
Name Boeing Caterpillar ConocoPhilips
EPS exp. 1.361 0.280 1.140
EPS prior -2.220 0.440 1.020
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 17-sep 17-nov 17-jan 17-mar 17-maj
US Breakeven 10 Year
17-jul
17-sep
17-nov
17-jan
40 28-01-2009
28-03-2009
28-05-2009
28-07-2009
28-09-2009
28-11-2009
Saxo CDS Index
USD breakeven 10 Year – an expression for measuring inflation expectations.
EURUSD Opt. Vol.
35 30 25 20 15 10 5 0
01-08 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 50.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
5
4
3
2
1
0 jun-08 sep-08 dec-08 mar-09 jun-09 sep-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?
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
jul-09
aug-09
sep-09
okt-09
nov-09
dec-09
jan-10
GDMA Hungarian - German
Czech Republic - German
CBOE SPX VOLATILITY INDX
The VIX Index is now at 25.
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
