Daily Trading Stance Monday, December 07, 2009

Theme Comment
Much stronger than expected US labor market data on Friday. So strong, that the negative correlation between the
USD and stocks broke down (turned positive). We note that the avg. Weekly Hours was out at 33.2 vs. 33.0 expected.
An increase in Weekly Hours is what is usually seen in recoveries, since employers first ask their employees to work
longer hours before hiring again.
This might be very significant. With the JPY TWI under severe pressure and both sovereign and corporate CDS prices
down, it looks like we could again have a risk-embracing environment, in which the USD strengthens.
The downtrend in USDJPY might be coming to an end, but we need a couple more days in order to conclude. EURUSD
and especially Gold are under pressure.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
EC 09:30 Sentix Investor Confidence (DEC) -7.0
GE 11:00 Factory Orders MoM (OCT) 0.8% 0.9%
CA 13:30 Building Permits MoM (OCT) 1.0% 1.6%

FX Daily stance Comment

EURUSD 0/- Sell on rallies towards 1.4950 and target 1.4825. Stop above 1.50.
USDJPY 0/+ Buy on dips towards 89.25 and target 90.25. Stop below 88.60.
EURJPY 0/+ Buy on dips towards 132 and target 134. Stop below 131.00.
GBPUSD 0/- Sell at the break of 1.6423 and target 1.63. Stop above 1.6470.
USDCAD 0/+ Buy at the break of 1.06 and target 1.0750. Stop below 1.0520.

FX-Options Comment
EURUSD Vols should remain well supported in the front end especially with the market getting
bullish about the dollar after Friday but unlikely to last too long after the FOMC next week.
USDJPY Gamma looks to be well supported over the FOMC date next week and mid curve is still
seeing decent bids this morning so we do not expect vols to come off too much.
AUDUSD Vols moved lower from Friday’s post nonfarm numbers. There were noted interest to buy
upside 93-9400 area strikes for 1-2mth area in Asia today.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5767 and target 5815. Stop below 5745.
FTSE 0/+ Buy on dips towards 5263 and target 5310. Stop below 5240.
S&P500 0/+ Buy on dips towards 1100 and target 1114. Stop below 1094.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/- Sell on rallies towards 1175 and target 1150. Stop above 1186.
Silver 0/- Sell at the break of 18.10 and target 17.75. Stop above 18.25.
Oil (CLF0) 0/- Sell on rallies towards 76.30 and target 74.90. Stop above 77.50.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(GMT
)
 Daily Trading Stance

Top 100 Global Stocks CDS Index

US Breakeven 10 Year 140
2,5

2 120

1,5
100

80

0,5

60
0

-0,5
40
28-jul 28-sep 28-nov 28-jan 28-mar 28-maj 28-jul 28-sep 28-nov
08-12-2008 08-02-2009 08-04-2009 08-06-2009 08-08-2009 08-10-2009
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 53.
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
apr-08 jul-08 okt-08 jan-09 apr-09 jul-09 okt-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 35

30
10

25
8

20

6
15

4
10

2 5

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

The VIX Index is now at 21.

1
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