Daily Trading Stance - 2010-01-28
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Content
Daily Trading Stance
Theme Comment
Thursday, January 28, 2010
Stocks reacting positively to both the FOMC statement (quite subdued optimism, but still scheduling the end of various liquidity providing programs) and Obama’s State of the Union speech – promising to combat unemployment. It looks like we have a rejection of the USD here and that the bounce in risky assets will continue higher today. The widening/worsening of the HY credit universe and the CDS market has stopped and that should also support risk.
Economic Data Releases Country Time (GMT) GE 08:55 EC 10:00 US 13:30 FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options EURUSD USDJPY AUDUSD Daily stance 0/+ 0/+ 0/+ 0/+ 0/+
Name Unemployment Rate (JAN) Consumer Confidence (JAN) Durable Goods / Ex. Trans. MoM (DEC)
Saxo
1.8% / 0.9%
Consensus 8.2% -15 2.0% / 0.5%
Prior 8.1% -16 0.2% / 2.0%
Comment Look to buy dips to 1.3980, target 1.4065, stop below 1.3925. Buy into dips below 90.0 for a rebound back to 90.55 en-route to 91.0. Stop below 89.30. Buy dips to 126.0 for a rebound back to 127.40. Stop below 125.50. Buy dips to 1.6150 for a rebound back to 1.6220. Stop below 1.6110. Likely finds suppt at 0.8970. Buy there for 0.9045 target. Stop below 0.8910. Comment Vols offered right after the FOMC rate decision but with the spot break of 1.40 in Asia have started to find bids. Spot likely to retest lows around 1.3940. Upside short date strikes are being paid this morning as market gets excited about the move above 9000. Back end vega continues to see good bids keeping it firm. Vols came offered this morning with the spot rally above 9000 and has found a base with the 1m trading at 13.0 compared to 12.75 earlier in the week when spot was higher.
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 5670 targeting 5700. S/L below 5655. Buy on dips towards 5249 targeting 5280. S/L below 5233. Buy on dips towards 1098 targeting 1104. S/L below 1094.
Comment Buy at the break of 1092 and target 1104. Stop below 1088. Neutral. Buy on dips towards 73.50 and target 75. Stop below 72.80.
Earnings Releases Time (GMT) Country (G(GMT)(GMT FI 11:00 US 12:00 ) US 22:30
Name Nokia Ford Microsoft
EPS exp. 0.195 0.259 0.582
EPS prior -0.151 0.270 0.400
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 18-sep 18-nov 18-jan 18-mar 18-maj
US Breakeven 10 Year
18-jul
18-sep
18-nov
18-jan
40 29-01-2009
29-03-2009
29-05-2009
29-07-2009
29-09-2009
29-11-2009
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 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09
Poland - German
10
5
0
dec-09
jan-10
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 23.
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 28, 2010
Stocks reacting positively to both the FOMC statement (quite subdued optimism, but still scheduling the end of various liquidity providing programs) and Obama’s State of the Union speech – promising to combat unemployment. It looks like we have a rejection of the USD here and that the bounce in risky assets will continue higher today. The widening/worsening of the HY credit universe and the CDS market has stopped and that should also support risk.
Economic Data Releases Country Time (GMT) GE 08:55 EC 10:00 US 13:30 FX EURUSD USDJPY EURJPY GBPUSD AUDUSD FX-Options EURUSD USDJPY AUDUSD Daily stance 0/+ 0/+ 0/+ 0/+ 0/+
Name Unemployment Rate (JAN) Consumer Confidence (JAN) Durable Goods / Ex. Trans. MoM (DEC)
Saxo
1.8% / 0.9%
Consensus 8.2% -15 2.0% / 0.5%
Prior 8.1% -16 0.2% / 2.0%
Comment Look to buy dips to 1.3980, target 1.4065, stop below 1.3925. Buy into dips below 90.0 for a rebound back to 90.55 en-route to 91.0. Stop below 89.30. Buy dips to 126.0 for a rebound back to 127.40. Stop below 125.50. Buy dips to 1.6150 for a rebound back to 1.6220. Stop below 1.6110. Likely finds suppt at 0.8970. Buy there for 0.9045 target. Stop below 0.8910. Comment Vols offered right after the FOMC rate decision but with the spot break of 1.40 in Asia have started to find bids. Spot likely to retest lows around 1.3940. Upside short date strikes are being paid this morning as market gets excited about the move above 9000. Back end vega continues to see good bids keeping it firm. Vols came offered this morning with the spot rally above 9000 and has found a base with the 1m trading at 13.0 compared to 12.75 earlier in the week when spot was higher.
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 5670 targeting 5700. S/L below 5655. Buy on dips towards 5249 targeting 5280. S/L below 5233. Buy on dips towards 1098 targeting 1104. S/L below 1094.
Comment Buy at the break of 1092 and target 1104. Stop below 1088. Neutral. Buy on dips towards 73.50 and target 75. Stop below 72.80.
Earnings Releases Time (GMT) Country (G(GMT)(GMT FI 11:00 US 12:00 ) US 22:30
Name Nokia Ford Microsoft
EPS exp. 0.195 0.259 0.582
EPS prior -0.151 0.270 0.400
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 18-sep 18-nov 18-jan 18-mar 18-maj
US Breakeven 10 Year
18-jul
18-sep
18-nov
18-jan
40 29-01-2009
29-03-2009
29-05-2009
29-07-2009
29-09-2009
29-11-2009
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 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09
Poland - German
10
5
0
dec-09
jan-10
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 23.
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
