Daily Trading Stance Monday, January 11, 2010

Theme Comment
The labour report last week was much worse than expected. Nonfarm Payrolls were not at all affected by seasonal
adjustments to the degree expected. The unemployment rate continues to stay around the 10% level, but much of
this is due to people exiting the labour market. The participation rate keeps plummeting and dropped another 0.4%-
points in December.
The S&P 500 fell sharply when the labour data were released, but then rallied all the way to a close of 1,145. With risk
indicators still improving, we have a positive stance of risk today. Buy on dips in stocks.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
NO 09:00 CPI MoM (DEC) 0.1% 0.3%
CA 13:15 Housing Starts (DEC) 160.0K 158.5K
US 17:45 Fed’s Lockhart to speak on US Economy

FX Daily stance Comment

EURUSD 0/+ Look to buy the dips towards 1.4470 targeting 1.4517. S/L below 1.4456.
USDJPY 0/+ Targeting a rebound to 92.64. Buy dips to 92.12.
EURJPY 0/+ Still supported by the 200DMA, buy dips to 133.74 and target 134.00. S/L below 133.65.
GBPUSD 0/- Sell around 1.6128 and target 1.6076. Stop abv 1.6145.
AUDUSD 0/+ Buy the dips to 0.9287 targeting 0.9315. S/L at 0.9300.

FX-Options Comment
EURUSD There was an interest to sell March 1.35s so riskies were lower along with it.
Dollar expected to weaken given the reflection in the lower riskies.
USDJPY There was some buying interest for upside 9300 strikes for Friday but gamma should ease
now that spot has moved off the highs and likely to congest.
AUDUSD Vols got given in Asia. 1y got given 15.75 and then came 15.55 offered which kicked off
the selling. Gamma likely to slip as well if spot heads back towards 9200.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 6,058 and target 6,110. Stop below 6,030.
FTSE 0/+ Buy on dips towards 5,549 and target 5,600. Stop below 5,525.
S&P500 0/+ Buy on dips towards 1,145 and target 1,154. Stop below 1,140.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 1,146 and target 1,156. Stop below 1,141.
Silver 0/+ Buy around 18.60 and target 18.77. Stop below 18.52.
Oil (CLG0) 0/+ Buy around 83.00 and target 83.65. Stop below 82.74.

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
3

2,5
120

100
1,5

1
80

0,5

60
0

-0,5
40
01-sep 01-nov 01-jan 01-mar 01-maj 01-jul 01-sep 01-nov 01-jan
12-01-2009 12-03-2009 12-05-2009 12-07-2009 12-09-2009 12-11-2009
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 43.
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
01-08 03-08 05-08 07-08 09-08 11-08 01-09 03-09 05-09 07-09 09-09 11-09 01-10

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
10 35

9
30
8

25
7

6 20

5
15
4

3 10

2
5
1
0
0
jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-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 18.

1
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