Daily Trading Stance Wednesday, October 28, 2009

Theme Comment
US figures yesterday were quite disappointing. Especially Consumer Confidence at 47.7 vs. 53.5 expected.
S&P500 wedge levels today: 1111 and 1055. We are close to support. Buy on dips with a tight stop. We believe that Durable
Goods Order could surprise significantly to the upside today and the sentiment for tomorrow’s GDP is quite positive.
The USD is again under pressure and commodities were picked up yesterday. One worry: Treasuries and VIX both a lot higher in
the past two days.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
US 12:30 Durable Goods Orders MoM (SEP) 1.0% -2.6%
US 12:30 Durable G.O. ex. Transp. MoM (SEP) 0.7% -0.3%
US 14:00 New Home Sales MoM (SEP) 2.6% 0.7%

FX Daily stance Comment

EURUSD 0/- Still look to sell rallies. 1.4830-50 immediate res lvl, target 1.4775 then 1.4700. Stop abv 1.4925.
USDJPY 0 Initial suppt at 91.0, below sees 90.70-80 but seen holding for rebound back to 91.50.
EURJPY 0/- Bearish developments. May find n/term suppt at 134.85 lvl but sell rallies to 135.75-85 for 134.65.
GBPUSD 0/- Sell rallies to 1.6380-90 for break through 1.6335 to target 1.6250. Stop abv 1.6425.
AUDUSD 0/- Break below 0.9125 suggests further weakness. Res now 0.9130, max 0.9175 before lower. Tgt 0.90.

FX-Options Comment
USDJPY Vols went bid yesterday duo to heard behavior when EURUSD vol went bid.
Mkt very keen on buying 91.90 expiring today, so we believe that level to act as a magnet on the ccy
today.
EURUSD Still decent talk abt the 1.49 strike expiring today.
Likely to see EURUSD advance to that level for NY expiry before heading lower again.

Equities Daily stance Comment

DAX 0/- Buy on dips towards 5590 and target 5650. Stop below 5570.
FTSE100 0/+ Buy on dips towards 5173 and target 5222. Stop below 5155.
S&P500 0/+ Buy on dips towards 1056 and target 1065. Stop below 1052.
Nasdaq100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy at the break of 1044 and target 1055. Stop below 1039.
Silver 0/+ Buy on dips towards 16.55 and target 16.75. Stop below 16.40.
Crude Oil 0/+ Buy on dips towards 78.50 and target 81. Stop below 77.50.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(G
Bf-Mkt Coca Cola 0.462
US 16:30
MT) Conoco Phillips 0.939
 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
18-jun 18-aug 18-okt 18-dec 18-feb 18-apr 18-jun 18-aug 18-okt
29-10-2008 29-12-2008 28-02-2009 30-04-2009 30-06-2009 31-08-2009
US Breakeven 10 Year Saxo CDS Index

USD breakeven 10 Year – an expression for measuring Credit Default Swaps are expressions for the
inflation expectations. perceived default risk in a company. Now at 52.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

30 6

25 5

20 4

15 3

2
10

1
5

0
0
mar-08 jun-08 sep-08 dec-08 mar-09 jun-09 sep-09
okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09 aug-09 okt-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 45

40
10
35

8 30

25
6
20

4 15

10

2
5

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

The VIX Index is edging lower, now at 24.

1
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