Daily Trading Stance Wednesday, September 09, 2009

Theme Comment
EURUSD broke 1.45, but gold didn’t manage to break the 1006 mark for good. Stocks edged higher in the US session,
but Asian markets are down around 1%.
US Consumer Credit declined a record $21.6B in July (stocks actually rallied intraday on that news), but the Federal
debt increased by $111.9B.
We maintain a buy on dips stance – credit markets still look supported in the short term with HY bonds outperforming
IG bonds significantly.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
US 12:00 Fed’s Evans speak about inflation
CA 12:15 Housing Starts (AUG) 139.5K 134.2K
US 18:00 Fed’s Beige Book

FX Daily stance Comment

EURUSD 0/+ Buy dips down to 1.4470 for an extension of rally to 1.4580+.
USDJPY 0/- Look to sell rallies to the 92.60-70 area for a re-test of o/n lows near 92.0.
EURJPY 0 Seen pivoting around 134.0. Res 134.50, suppt 133.50.
GBPUSD 0/+ Seems we have more upside. Buy dips to 1.6470-80, stop below 1.6430 for 1.66.
AUDUSD 0/+ 0.8580-90 crucial for further gains. Below targets 0.8450 else 0.8670+ beckons.

FX-Options Comment
EURUSD Vols traded much higher with 1 mth up 1 vol and risk reversals were bid. Market is looking
for 1-2 mth 1.50s so we expect spot to continue climbing.
USDJPY Although front end saw some life, it still seems offered but back end is holding up well.
Should Dollar weakness push spot down towards 9100 we should see bigger jumps in vols.
AUDUSD Gamma turns bid with plenty of buyers in the front end. Risk reversals also saw some
aggressive buying under 1wk which should keep spot from offered.

Equities Daily stance Comment

DAX 0 Buy/Sell at the break of 5501/5456 targeting 5538/5419. S/L below/above 5476/5476.
FTSE 0 Buy/Sell at the break of 4971/4925 targeting 5505/4895. S/L below/above 4955/4938.
S&P500 0 Buy/Sell at the break of 1027/1020 targeting 1033/1014. S/L below/above 1024/1022.
Dow Jones 0
Nasdaq100 0

Commodities Daily Stance Comment

Gold 0/+ Buy at the break of 1008 and target 1022. Stop below 1000.
Silver 0/+ Buy on dips towards 16.50 and target 16.70. Stop below 16.60.
Oil 0/+ Buy at the break of 71.80 and target 74. Stop below 71.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(G
MT)
 Daily Trading Stance

Top 100 Global Stocks CDS Index

US Breakeven 10 Year 140
3

2.5
120

100
1.5

1 80

0.5

60

-0.5 40
30-apr 30-jun 30-aug 30-okt 30-dec 02-mar 02-maj 02-jul 02-sep 10-09-2008 10-11-2008 10-01-2009 10-03-2009 10-05-2009 10-07-2009
US B re ake ve n 1 0 Ye ar 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 59.
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
jan-08 apr-08 jul-08 okt-08 jan-09 apr-09 jul-09
0
aug-07 okt-07 dec-07 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09
Moody BAA - U S G eneric G ovt 30 Year Yield Moody AAA - U S G eneric G ovt 30 Year Yield
EUR -USD OP T VOL 1 W EUR -USD OP T VOL 1 M EUR -USD OP T VOL 1 Y

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 60

10 50

8 40

6 30

20
4

10
2

0
0
feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
C B OE SP X V OLA TILITY INDX

GDM A Hu n gari an - German C ze ch R e p u bl i c -German P o l an d - Ge rman

The VIX Index is heading higher, now at 26.

1
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