Daily Trading Stance Friday, September 11, 2009

Theme Comment
Stocks continued higher yesterday and we believe that it is still “risk on”, so expect stocks to go higher today – we still buy on
dips.
We have some macro data today, but only expect the U. of Michigan consumer confidence to be able to influence the market. It
could disappoint given the poor showing by the ABC confidence index on Tuesday, though an actual drop is unlikely.
US Jobless Claims was out yesterday and while they were slightly better than expected, it is amazing how many people are still
applying for unemployment insurance each week. We worry that most of the drop in continuing claims can be explained by
people who are transferred to the extended benefits program (unemployed 27 weeks or more).

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
UK 08:30 PPI Output YoY (AUG) -0.5% -1.3%
US 12:30 Wholesale Inventories (JUL) -1.0% -1.7%
US 14:00 University of M. Confidence (SEP) 67.5 65.7

FX Daily stance Comment

EURUSD 0/+ 1.4620 looks crucial. Buy sustained break abv for 1.47 else stuck in 1.4550-1.4620 range
USDJPY 0 133.0 suppt needs to hold for another chance on 134.0, else retrace to 132.60
EURJPY 0/- Risk that we break through 91.0 suppt to test 90.50-60. Res now 91.50-60
GBPUSD 0/+ Sustained move abv 1.6710 targets 1.6750-60. Ranging 1.6630-1.6750 n/term
AUDUSD 0/+ Suppt at 0.86 lvl looks strong. Buy dips to 0.8615-20 for re-test of y’day’s highs

FX-Options Comment
EURUSD Even with spot up here, front end was weak with 1 week offered as low as 10%. Seeing
some interests in the brokers to buy risk reversals (buy EUR puts).
USDJPY Buying interests noted in 1-2mth downside yesterday as we see early signs of nervousness
as spot approaches 9000. Large buyer of 1mth 9400s in the brokers today.
AUDUSD Early interests saw sellers of front end while risk reversals saw decent bids. Do not expect
spot to break under 8500 in the short term.

Equities Daily stance Comment

DAX 0/+ Buy around 5572 targeting 5640. S/L below 5540.
FTSE 0/+ Buy around 4964 targeting 5017. S/L below 4936.
S&P500 0/+ Buy around 1032 targeting 1041. S/L below 1026.
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy around 998 targeting 1005. S/L below 994.
Silver 0/+ Buy at the break of 16.94 targeting 17.15. S/L below 16.84
Oil 0/+ Buy at the break of 72.50 targeting 73.50. S/L below 72.10.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(G
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
02-maj 02-jul 02-sep 02-nov 02-jan 02-mar 02-maj 02-jul 02-sep 12-09-2008 12-11-2008 12-01-2009 12-03-2009 12-05-2009 12-07-2009
# N/A R e q u e sti n g 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 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
sep-07 nov-07 jan-08 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 lower, now at 24.

1
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