Daily Trading Stance Friday, November 13, 2009

Theme Comment
The number of macro releases this week has been quite low so far, but today will be more exciting. German GDP has
already been released and came out in line with expectations. We believe that Eurozone GDP (out at 10:00) could
disappoint slightly as Germany is the main driver behind this number.
The monthly budget statement from the US showed a deficit of $176.4 billion with receipts plummeting to a seven
year low. While the net interest expense on the debt is still low, this will change once interest rates start to increase.
U. of Michigan consumer confidence will be one of the drivers in the US today. The expectation is for a slight increase
which should be doable.
Fed members Evans and Dudley (both FOMC voters) will speak at separate events today on asset-price bubbles and
the financial system, respectively.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 10:00 GDP QoQ / YoY (3Q) 0.5% / -3.9% -0.2% / -4.8%
US 13:30 Import Trade Index (OCT) 1.0% 0.1%
US 15:00 U. of Michigan Confidence (NOV) 71.0 70.6

FX Daily stance Comment

EURUSD 0/- Rally likely limited to 1.4900-10 for a re-test of 1.4825, possibly 1.4775. abv 1.4960 negates stance.
USDJPY 0/+ Suppt now found at 89.90-00 lvl for a rebound to 90.60 en-route for 91.0. Stop below 89.60.
EURJPY 0 Likely finding a base at 134.0 for a 134.0 – 135.00 range. Below risks 133.30.
GBPUSD - Sell rallies to 1.6615-20 lvl for next leg down to target 1.6500 min. Stop abv 1.6675.
AUDUSD 0/- Risk of a deeper correction to 0.9180. Prefer to sell rallies to 0.9285-90, stop abv 0.9330.

FX-Options Comment
EURUSD Market turned their heads towards EUR puts again after yesterday’s usd rally.
Banks aggressively paying up for EUR puts now and would not be surprised to see
spot reflect that and go lower.
EURCHF Atm vols still remain at 2y lows, however market is still dominated by aggressive buyers
of low delta eur puts, which has taken risk reversals to new highs.

Equities Daily stance Comment

DAX 0/- Sell on rallies towards 5660 targeting 5620. S/L above 5680.
FTSE 0/- Sell on rallies towards 5286 targeting 5239. S/L above 5306.
S&P500 0/- Sell on rallies towards 1095 targeting 1083. S/L above 1106.
Nasdaq100 0/-
DJIA 0/-

Commodities Daily Stance Comment

Gold 0 Holding the 1,098 critical for upward momentum. Likely ranging 1,100-1,120. Below risks 1,080-1,082.
Silver 0 Expect rebound to stall at 17.35 level for a 17.15-17.35 range.
Oil (CLZ9) 0 Suppt at 76.50 holding for now. Likely ranging 76.50-78.0.

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

-0,5
40
04-jul 04-sep 04-nov 04-jan 04-mar 04-maj 04-jul 04-sep 04-nov
14-11-2008 14-01-2009 14-03-2009 14-05-2009 14-07-2009 14-09-2009
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 56.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

30 6

25 5

20 4

15 3

10 2

5 1

0 0
mar-08 jun-08 sep-08 dec-08 mar-09 jun-09 sep-09
nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09 nov-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 40

35
10

30

8
25

6 20

15
4
10

2 5

0
0
apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09
jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-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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