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Theme Comment
Strong rally in stocks yesterday, engulfing all price action on Wednesday in S&P500. The positive sentiment could
continue ahead of the US labor market data today, but the market is likely to be disappointed as the Unemployment
Rate in our opinion has a high likelihood of being released at 10% and the NFP could also disappoint. Look for the
Participation Rate and Weekly Hours as well.
Our stance: Don’t be long over the figures. Buy on eventual dips afterwards.
The RBA was decidedly bullish on the Australian economy o/n and AUDUSD is likely to test the previous highs within
next week.
FX-Options Comment
EURUSD Vols heavily offered yesterday as large DNTs being protected in both directions.
Believe vols will sell off further and expect a tight range for the rest of the year.
EURCHF Vols slightly bid and RR trading further in favour of EURCHF.
Huge options related stops between 1.5000 and 1.5050.
Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(G
MT)
Daily Trading Stance
2,5
120
100
1,5
1
80
0,5
60
0
-0,5
40
27-jun 27-aug 27-okt 27-dec 27-feb 27-apr 27-jun 27-aug 27-okt
07-11-2008 07-01-2009 07-03-2009 07-05-2009 07-07-2009 07-09-2009
US Breakeven 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 56.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7
30 6
25 5
20 4
15 3
10 2
5 1
0 0
mar-08 jun-08 sep-08 dec-08 mar-09 jun-09 sep-09
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
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? 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
4 15
10
2
5
0
0
apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09
jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German
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