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Theme Comment
Mixed US figures on Friday. Industrial Production and Capacity Utilization better than expected, but Univ. of Michigan
confidence was disappointing.
Not too convincing close in stocks on Friday, but Chinese stocks are higher and commodities also saw some support
overnight. Corporate bond spreads are still supportive of the overall risk picture… at least in the short term.
Watch out for Apple and Texas Instruments today, which could have a material impact on stocks.
FX-Options Comment
EURUSD With spot off the highs, vols should be expected to weaken. Vega is now less sought
after compared to last week. Spot towards 1.48 should take some pressure off the curve.
USDJPY Yen vols are still holding up as vega in the back end sees some bids. 1mth risk reversals
are coming off as spot holds above 90.00 levels.
AUDUSD Curve still bid despite spot not breaking any new ground. Mid curve vols have been paid up
up by the market over the last week so supply is likely to stall for the moment.
Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(G
11:30 BB&T Corp. 0.247 0.290
US 20:30
MT) Texas Instruments Inc. 0.400 0.240
US 20:30 Apple Inc. 1.432 1.350
Daily Trading Stance
2,5
120
100
1,5
1 80
0,5
60
-0,5 40
09-jun 09-aug 09-okt 09-dec 09-feb 09-apr 09-jun 09-aug 09-okt 20-10-2008 20-12-2008 20-02-2009 20-04-2009 20-06-2009 20-08-2009
US Br eakeven 10 Year Saxo CDS Index
USD breakeven 10 Year – an expression for measuring Credit Default Swaps are expressions for the
inflation expectations. perceived default risk in a company. Now at 55.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7
6
30
5
25
4
20
3
15
2
10
1
5
0
mar-08 jun-08 sep-08 dec-08 mar-09 jun-09 sep-09
0
okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09 aug-09 okt-09
M o o d y B A A - US Ge n eri c Go vt 3 0 Ye ar Yi e l d M o o d y A A A - US Ge n eri c Go vt 3 0 Ye ar Yi e l d
EUR- USD OPT VOL 1W EUR- USD OPT VOL 1M EUR- USD OPT VOL 1Y
Volatility at different time horizons. Too low, now? Spreads are easing, but still showing tight
corporate debt markets.
CEE-German Govt. Bond Spreads CBOE SPX VOLATILITY INDEX
12 45
40
10
35
8 30
25
6
20
15
4
10
2
5
0
0
apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09
dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09
CBOE SPX VOLATI LI TY I NDX
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