Daily Trading Stance Monday, August 10, 2009

Theme Comment
US figures on Friday led to optimism after the NFP came out at -247K vs. -325K expected and the Unemployment Rate
was at 9.4% vs. 9.6% expected (actually dropping 0.1% since June). However, consumers continued to deleverage –
consumer debt decreased by $10.3B.
S&P500 briefly traded above the 1014 level, but closed at 1010.
Futures prices on the VIX show market expectations of a 13% increase over the next five weeks. Highest since August
2008 – and a danger sign for stocks.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
NO 08:00 CPI MoM (JUL) -0.2% 0.6%
EC 08:30 Sentix Investor Confidence (AUG) -25.8 -31.3
UK 23:01 RICS House Price Balance (JUL) -10.0% -18.1%

FX Daily stance Comment

EURUSD 0/- Still prefer to sell rallies to 1.4250 for a re-test of Fri levels. 1.4320 next res.
EURJPY 0/+ Finding suppt below 138.0. Buy dips to 137.60, stop below 137.20 for 138.70.
USDJPY 0/+ Likely finding suppt at, or close to, 97.0. 97.75 immed tgt, 99.0 after that.
GBPUSD 0/- Expect res at 1.6740 to cap for 1.6650. Stop abv 1.6825.
AUDUSD 0/- Currently testing 0.84 res, expect to hold for 0.8325, stop abv 0.8480.

FX-Options Comment
EURUSD Vols sold off as expected after the payroll numbers on Friday but quickly stabilized. Risk
reversals are still bid despite the drop in spot so expect a correction towards 1.44.
USDJPY Mid curve is better bid even as spot pushes above 97.00 after Friday’s session. Risk
reversals are coming off so downside nervousness has eased with spot at current levels.
AUDUSD Spot still well supported and upside strikes still being bought. Gamma remains depressed
making the slope of the vol curve steep. Expect spot to test 8500 level.

Equities Daily stance Comment

DAX 0/- Sell at the break of 5430 targeting 5382. S/L above 5455.
FTSE 0/- Sell at the break of 4710 targeting 4666. S/L above 4740.
S&P500 0/- Sell at the break of 1005 targeting 998. S/L above 1008.
Nasdaq 0/- Sell at the break of 1613 targeting 1600. S/L above 1618.
Dow Jones 0/- Sell at the break of 9312 targeting 9256. S/L above 9343.

Commodities Daily Stance Comment

Gold 0/- Sell at the break of 951 and target 941. Stop above 955.
Silver 0 Neutral. Risk reward not convincing.
Oil 0 Play break out. Sell at the break of 69.71. Buy at the break of 71.25.

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

-0.5 40
31-mar 31-maj 31-jul 30-sep 30-nov 31-jan 31-mar 31-maj 31-jul 11-08-2008 11-10-2008 11-12-2008 11-02-2009 11-04-2009 11-06-2009
US Breakeven 10 Year 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 52.
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
dec-07 mar-08 jun-08 sep-08 dec-08 mar-09 jun-09
0
aug-07 okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09 aug-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 60

10 50

8 40

6 30

20
4

10
2

0
0
jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09
okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is slightly below 25.

1
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