Daily Trading Stance Wednesday, September 02, 2009

Theme Comment
Stocks generally down 2% in the US session despite better than expected figures (ISM Manufacturing, Pending Home
Sales and Total Vehicle Sales). It doesn’t bode well that S&P500 closed below 1000. The trend in stocks is still positive
and the Shanghai Composite is up this morning. Commodities don’t look too healthy, but AUD is holding up. Keep an
eye on NZDJPY (about to break lower).
Today’s ADP Employment Change and the FOMC Minutes are important, potential market triggers.
Looking at Japan: The JPY is higher and JGB’s are higher, despite worries about the DPJ issuing more debt to pay for
campaign promises.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 09:00 Eurozone GDP QoQ (2Q) -0.1% -0.1%
US 12:15 ADP Employment Change (AUG) -250K -371K
US 18:00 Minutes of Aug. 12 FOMC Meeting

FX Daily stance Comment

EURUSD 0/- Look to sell rallies to 1.4240-50 for a push through 1.42 targeting 1.4150.
USDJPY 0 92.50-60 looks next key suppt. Below sees 91.90 else we risk rebound to 92.90-95.
EURJPY 0/- Sell rallies to 132.50, 133.25 max for break below 131.0 to target 129.50-70 m/term.
GBPUSD 0/- 1.6150-70 probably caps for an eventual test of 1.6035-50 support area.
AUDUSD 0/- Likely ranging 0.8250 – 0.8335-50 area. Prefer to sell into the rally m/term.

FX-Options Comment
EURUSD Vols hold firm yesterday with front end riskies very bid for EUR calls. 3-6mth risk reversals
still favours EUR calls but came closer to par yesterday.
USDJPY Front end opened very bid this morning with equities opening lower but the wave of
selling kicked in and vols have come off session highs. RRs are bid so expect spot to follow.
AUDUSD Plenty of buyers on the opening after the spot move yesterday with 1mth trading as high
as 16.6 but returned 16.3 offered by the later half of the session.

Equities Daily stance Comment

DAX 0/+ Buy in the range of 5285-5305 targeting 5360. S/L below 5265.
FTSE 0/+ Buy in the range of 4790-4805 targeting 4840. S/L below 4775.
S&P500 0/+ Buy in the range of 995-1000 targeting 1012. S/L below 992.
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0/- Sell on rallies towards 960 and target 950. Stop above 964.
Silver 0/- Sell on rallies towards 15 and target 14.60. Stop above 15.25.
Oil 0/- Sell at the break of 67.42 and target 65.50. Stop above 68.50.

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
23-apr 23-jun 23-aug 23-okt 23-dec 23-feb 23-apr 23-jun 23-aug 03-09-2008 03-11-2008 03-01-2009 03-03-2009 03-05-2009 03-07-2009
U S 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 56.
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
nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
CBOE SPX VOLATILITY IN DX

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

The VIX Index is heading higher, now at 29.

1
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