Daily Trading Stance Wednesday, December 23, 2009

Theme Comment
The third estimate of Q3 US GDP was revised down to 2.2% vs. Saxo/consensus of 2.7%/2.8%. The main drivers behind
the change in the growth rate were non-residential construction, inventories, and net exports. The report also
indicates that private consumption was driven to an even large degree by Cash for Clunkers than estimated in earlier
reports as motor vehicle output contributed roughly 73% of total private consumption contribution.
Existing Home Sales surprised even more to the upside than we expected with sales growing 7.4%. New Home Sales
are out today, and we expect a flat number.
Watch out for Bank of England minutes today at 09:30.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
US 13:30 Personal Income / Spending MoM (NOV) 0.3% / 0.6% 0.5% / 0.7% 0.2% / 0.7%
US 15:00 New Home Sales Unit / MoM (NOV) 430K / 0.1% 438K / 1.7% 430K / 6.2%
US 15:00 U. of Michigan Consumer Confidence (DEC) 73.8 73.4

FX Daily stance Comment

EURUSD 0 Likely ranging 1.4225-1.4300. Watch 200-day MA suppt at 1.4195 below
USDJPY 0 While holding abv 91.50 suppt seen trading 91.50-92.00. Below risks 91.20
EURJPY 0 Ranging activity. 130.25 – 131.0 suggested parameters
GBPUSD 0 Look to test 1.5920 lows but seen holding for 1.5920 -1.600 range
AUDUSD 0 Consolidation within established 0.8740-0.8780 range

FX-Options Comment
EURUSD Very little has changed in EUR vols, spot ranges are contained and middle to back end vols
are likely to stay firm.
USDJPY Yen vols continue to see bids through the back end of the curve. 1Y is now 15.2 bid which
is just slightly firmer from yesterday.
AUDUSD Short date strikes still continues to see a few offers but curve is generally holding up
though flows are light and spot has been rangebound in Asia.

Equities Daily stance Comment

DAX 0/+ Buy around 5960 targeting 6000. S/L below 5940.
FTSE 0/+ Buy around 5340 targeting 5360. S/L below 5330.
S&P500 0/+ Buy around 1118 targeting 1122. S/L below 1116.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0 Likely ranging 1,075-1,090 but downside looks vulnerable. Prefer to play from short side.
Silver 0/- Break abv 17.0 seen limited to 17.10. Sell there for test of 16.85, stop abv 17.15.
Oil (CLG0) 0 Seen ranging 74.0 - 75.0 but prefer to sell rallies, stop abv 75.25.

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
13-aug 13-okt 13-dec 13-feb 13-apr 13-jun 13-aug 13-okt 13-dec
24-12-2008 24-02-2009 24-04-2009 24-06-2009 24-08-2009 24-10-2009
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 46.
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
maj-08 aug-08 nov-08 feb-09 maj-09 aug-09 nov-09
dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09 aug-09 okt-09 dec-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
jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09
feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is now at 20.

1
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