Daily Trading Stance Thursday, October 01, 2009

Theme Comment
A lot of data out today. Most important is probably the ISM Manufacturing. We believe that it could disappoint by
coming out at 51 or below.
Despite a lower than expected Chicago PMI, stocks were able to regain the lost territory and the HY universe is still
doing okay.
EUR is under pressure from event-risk: Today, Ireland will be voting on the Lisbon Treaty and at a “no”, the EC faces a
tough challenge, which perhaps would lead to a “two-phased” Europe.
Most treasury markets show strength and are about to make new highs. Watch Bunds.
SNB intervened yesterday and sent EURCHF two figures higher. It fell back one figure, though.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
US 12:30 Personal Inc. / Spending MoM (AUG) 0.1% / 1.1% 0.0% / 0.2%
US 12:30 ISM Manufacturing (SEP) 54.0 52.9
US 14:00 Pending Home Sales MoM (AUG) 1.0% 3.2%

FX Daily stance Comment

EURUSD 0/- Break below 1.4625 signals further weakness. 1.4530 next suppt with res now 1.4615
USDJPY 0/- Likely pivoting around 90.0. Res at 90.40 looks firm, suppt at 89.50-60
EURJPY 0/- Break below 131.0 signals a test of 130.50, possibly 130.25. Res now 131.75
GBPUSD 0 Expect to test suppt at 1.5920 but seen holding for a 1.5920 – 1.6020 range
AUDUSD 0/+ Expect suppt at 0.8770 to hold for a rebound to 0.8860 again

FX-Options Comment
EURCHF Large buyer for low delta EUR puts/CHF calls in the broker market and also intraweek
downside strikes. Likely to see spot weaker but should see support around 1.5075-1.51.
USDJPY Front end selling takes place as spot moves to 90.00. Rest of the curve follows lower as
back end vega getting given. This will likely put spot into narrower ranges.
AUDUSD Gamma seems soft although 1wk still sees decent bids as it gets the nonfarm and RBA.
The rest of the curve still holding up with 1mth up slightly from yesterday.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5685 and target 5739. Stop below 5667.
FTSE 0/+ Buy on dips towards 5143 and target 5187. Stop below 5126.
S&P500 0/+ Buy on dips towards 1054 and target 1062. Stop below 1051.
Nasdaq100 0/+ Buy on dips towards 1713 and target 1732. Stop below 1707.
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 1000 and target 1011. Stop below 995.
Silver 0/+ Buy on dips towards 16.35 and target 16.60. Stop below 16.25.
Oil (CLX9) 0/+ Buy at the break of 68.50 and target 70. Stop below 67.70.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(G
16:00 Accenture PLC 0.608 0.680
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
22-maj 22-jul 22-sep 22-nov 22-jan 22-mar 22-maj 22-jul 22-sep 02-10-2008 02-12-2008 02-02-2009 02-04-2009 02-06-2009 02-08-2009
US B re ake ve n 10 Ye ar 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 54.
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
feb-08 maj-08 aug-08 nov-08 feb-09 maj-09 aug-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
M o o d y B A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d M o o d y A A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d
EUR -USD OP T VOL1 W EUR -USD OP T VOL1 M EUR -USD OP T VOL1 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 50

45
10
40

35
8
30

6 25

20

4 15

10
2
5

0
0
mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
C B OE SP X V OLATILITY INDX

GDM A Hungar ian - Ger m an CzechRepublic - Ger m an Poland - Ger m an

The VIX Index is now at 26.

1
General
These pages contain information about the services and products of Saxo Bank A/S (hereinafter referred to as “Saxo Bank”). The material is provided for informational purposes
only without regard to any particular user's investment objectives, financial situation, or means. Hence, no information contained herein is to be construed as a analysis; or an
offer to buy or sell; or the solicitation of an offer to buy or sell any security, financial product, or instrument; or to participate in any particular trading strategy in any jurisdiction in
which such an offer or solicitation, or trading strategy would be illegal. Saxo Bank does not guarantee the accuracy or completeness of any information or analysis supplied. Saxo
Bank shall not be liable to any customer or third person for the accuracy of the information or any market quotations supplied through this service to a customer, nor for any
delays, inaccuracies, errors, interruptions or omissions in the furnishing thereof, for any direct or consequential damages arising from or occasioned by said delays, inaccuracies,
errors, interruptions or omissions, or for any discontinuance of the service. Saxo Bank accepts no responsibility or liability for the contents of any other site, whether linked to this
site or not, or any consequences from your acting upon the contents of another site. Opening this website shall not render the user a customer of Saxo Bank nor shall Saxo Bank
owe such users any duties or responsibilities as a result thereof.

Analysis Disclosure & Disclaimer

Risk warning
Saxo Bank A/S shall not be responsible for any loss arising from any investment based on any analysis, forecast or other information herein contained. The contents of this
publication should not be construed as an express or implied promise, guarantee or implication by Saxo Bank that clients will profit from the strategies herein or that losses in
connection therewith can or will be limited. Trades in accordance with the analysiss in an analysis, especially leveraged investments such as foreign exchange trading and
investment in derivatives, can be very speculative and may result in losses as well as profits, in particular if the conditions mentioned in the analysis do not occur as anticipated.