Daily Trading Stance Tuesday, August 25, 2009

Theme Comment
S&P500 went lower after having made new highs. Especially financials were lower after comments from the SunTrust Banks CEO
about future losses. The future is indicated lower, led by the Shanghai Composite (down 3.5%). JPY-crosses got a beating, but
Itraxx/CDS prices are lower and the HY universe still looks decently healthy in the short term.
Stocks look to be weak today, but that should be seen as a buying opportunity in the short term. Watch out for Consumer
Confidence, which could be an important trigger.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
US 13:00 S&P/CS Composite-20 YoY (JUN) -16.40% -17.06%
US 14:00 Consumer Confidence (AUG) 47.9 46.6
US 14:00 House Price Index MoM (JUN) 0.4% 0.9%

FX Daily stance Comment

EURUSD 0/+ Downside seen limited to 1.4270-80 for a re-test of 1.4340. Break abv signals 1.4440 again
EURJPY 0 Ranging 134.20-135.30. US confidence data to dictate sentiment/direction
USDJPY 0/- Look to sell rallies to 94.30-40 for a test of 93.50 lvls. Suppt there should hold.
GBPUSD 0 Expect to range-trade 1.6360-1.6450. Await breakout either way.
AUDUSD 0/+ While suppt at 0.8320-40 holds look for rebound to 0.8425 again

FX-Options Comment
EURUSD: Frontend mainly offered Monday with risk reversals still favoring EUR calls. Expects short dated vols
short dated vols
and especially andcalls
EUR especially EURup
to be paid calls to beifpaid
heavily up heavily
we see if we see
a clear break a clear
through breakresistance.
1.4400 through 1.4400
resistance.
through 1.4400 resistance.
favoring EUR calls again. suggesting spot to keep moving in smaller off.
might very well can take out the last weeks range trading and we might see vol curves get heavily paid
again.

concentrated
Equities Daily stance Comment
DAX 0/+ Buy in the range 5460-5475 targeting 5510. S/L below 5440.
FTSE 0/+ Buy in the range of 4870-4885 targeting 4910. S/L below 4845.
S&P500 0/+ Buy at the break of 1027 targeting 1035. S/L below 1022.
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0 Neutral. Risk-reward not convincing
Silver 0/- Sell at the break of 14.05 and target 13.80. Stop above 14.20.
Oil 0/+ Buy at the break of 74.20 and target 76.00. Stop below 73.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(G
Bf-Mkt Staples Inc 0.163 0.220
MT)
 Daily Trading Stance

Top 100 Global Stocks CDS Index

#N/A Requesting Data... 140
3

2,5
120

100
1,5

1
80

0,5

60

-0,5 40
15-apr 15-jun 15-aug 15-okt 15-dec 15-feb 15-apr 15-jun 15-aug 26-08-2008 26-10-2008 26-12-2008 26-02-2009 26-04-2009 26-06-2009
#N/A Requesting 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 55.
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 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
feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09
CBOE SPX VOLATILITY INDX

G DMA H ungarian - G erman Cz ech Republic - G erman Poland - G erman

The VIX Index is heading lower, now at 26.

1
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