Theme Comment
Stocks dropped yesterday after a huge drop in Auto sales (after the end of the CFC). Domestic Vehicle Sales were
down by a third since Aug.
The market is jittery ahead of today’s NFP and Unemployment Rate. EUR is under pressure due to the Irish
referendum today.
Trendline support in S&P500 today is 1013. It looks like that level could be tested today. The HY universe saw the
biggest one-day drop since March and treasuries are making new highs. Commodities are all lower, indicating more
risk-aversion. Stand by for an ugly weekly close.
FX-Options Comment
EURUSD Market slightly better bid for downside after the spot move yesterday. 1 mth riskies
traded 0.2 favouring EUR puts and talk of Goldman having bought 3-6m 1.36 area strikes.
USDJPY Front end all bid with risk reversals following as USD puts are being bid. Rest of the curve
should remain well supported through this level as equities and spot remain weak.
AUDUSD 1mth is paid up quickly from 14.7 yesterday in NY to 15.3% in early Sydney. Front end
all well bid with nonfarm and RBA over next few sessions.
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
-0,5 40
23-maj 23-jul 23-sep 23-nov 23-jan 23-mar 23-maj 23-jul 23-sep 03-10-2008 03-12-2008 03-02-2009 03-04-2009 03-06-2009 03-08-2009
# N/A R e qu esti ng Data... Saxo CDS Index
USD breakeven 10 Year – an expression for measuring inflation Credit Default Swaps are expressions for the perceived
expectations. default risk in a company. Now at 54.
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
feb-08 maj-08 aug-08 nov-08 feb-09 maj-09 aug-09
0
sep-07 nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09
M o o d y B A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d M o o d y A A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d
EUR -USD OP T VOL1 W EUR -USD OP T VOL1 M EUR -USD OP T VOL1 Y
Volatility at different time horizons. Too low, now? Spreads are easing, but still showing tight corporate debt
markets.
45
10
40
35
8
30
6 25
20
4 15
10
2
5
0
0
mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
C B OE SP X V OLATILITY INDX
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.
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.