Daily Trading Stance Monday, February 22, 2010

Theme Comment
 Stocks and oil went higher overnight on the back of solid GDP figures from Taiwan (9.2% YoY) and Thailand (5.8%
YoY). This together with an easing of the fear that a tightening is imminent in the US is helping risky assets.
 The week starts off with few macro releases; the Chicago Fed Activity Index (13:30) is the most interesting piece of
data today. It’s generally a good indicator of the economy (based on 85 series) and is still suggesting that the US
economy is growing below trend.
 Lowe’s – a large home improvement retailer - will report earnings today with analysts expecting a large fall in earnings
QoQ. Their performance is another type of indicator of the well-being in the housing sector.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
US 13:30 Chicago Fed Activity Index (JAN) -0.19 -0.61
US 15:30 Dallas Fed Manuf. Index (FEB) 10.0% 8.3%
US 16:00 Yellen speaks on US Economy

FX Daily stance Comment

EURUSD 0/- Sell rallies to 1.3650-60 window for a retracement back to 1.3580, poss 1.3550. Stop abv 1.3713.
USDJPY 0/+ Buy dips to 91.40-50 area for a test of 92.40. Stop below 91.17.
EURJPY 0 Chance of slippage back to 124.65 but seen trading a broad 124.60 – 125.50 range.
GBPUSD 0/- Prefer to sell rallies to 1.55 for another test of 1.54. Stop abv 1.5537.
AUDUSD 0/- Seen capped at 0.9025-35 lvl. Sell rallies for 0.8965 target. Stop abv 0.9057.

FX-Options Comment
EURUSD Risk reversals remain bid and most market interests were selling middle curve vols
although not particularly aggressive. Gamma is easing with spot above 1.36
USDJPY Gamma should stay offered as spot continues to sit in range. Very likely that spot gets
contained within 9120 and 9200 range due to expiries in this area for this week.
AUDUSD Vols have mostly been sidelined today but front end likely to remain soft as market is
largely long gamma in this spot range. Few intraweek interests for 9020 and 9050 strikes.

Equities Daily stance Comment

DAX 0/+ Buy at the break of 5,725 and target 5,769. Stop below 5,709.
FTSE 0/+ Buy on dips towards 5,340 and target 5,378. Stop below 5,326.
S&P500 0/+ Buy at the break of 1,111 and target 1,120. Stop below 1,106.
NASDAQ100
DJIA

Commodities Daily Stance Comment

Gold 0/+ Buy at the break of 1131 and target 1142. Stop below 1125.
Silver 0/- Sell on rallies towards 16.70 and target 16.40.
Oil (CLH0) 0/- Sell at the break of 79.25 and target 77.80. Stop above 79.50.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(GMT
12:00 Lowe’s Cos 0.122 0.250
US 21:05
) Nordstrom 0.787 0.380
US Aft-Mkt RadioShack 0.594 0.300
 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

-0.5
40
13-okt 13-dec 13-feb 13-apr 13-jun 13-aug 13-okt 13-dec 13-feb
23-02-2009 23-04-2009 23-06-2009 23-08-2009 23-10-2009 23-12-2009
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 53.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

30 6

25 5

20 4

15 3

2
10

1
5

0
0
jul-08 okt-08 jan-09 apr-09 jul-09 okt-09 jan-10
02-08 04-08 06-08 08-08 10-08 12-08 02-09 04-09 06-09 08-09 10-09 12-09 02-10

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
8 35

7 30

6
25

5
20

4
15
3
10
2

5
1

0
0
aug-09 sep-09 okt-09 nov-09 dec-09 jan-10 feb-10
apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09 jan-10
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is now at 20.

1
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