Daily Trading Stance Monday, November 16, 2009

Theme Comment
AUD and EUR going higher, USD, JPY and CHF under pressure. Gold is rallying to 1130. Asian session quite positive
with Shanghai Composite up 2.7%.
Japanese GDP Annualized (3Q) out at 4.8% vs. 2.9%. JPY lower nonetheless. That means that the risk-trade is still on:
Buy on dips. It looks like S&P500 will test the 1121 level this week.
Possible triggers: Retail Sales today. We believe that it could surprise positively.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 10:00 CPI MoM (OCT) 0.3% 0.0%
US 13:30 Retail Sales / Ex Autos MoM (OCT) 0.9% / 0.4% -1.5% / 0.5%
US 13:30 Empire Manufacturing (NOV) 30.00 34.57

FX Daily stance Comment

EURUSD 0/+ Expect to test abv 1.50. Buy dips to 1.4935-40 for test of 1.5015, poss 1.5065. Stop below 1.4890.
USDJPY 0/- Expect res at 89.70-90 window to contain rally for retracement to 89.20, poss 88.70. Stop abv 90.35.
EURJPY 0/- Seen capped at 134.20-30 lvl for retracement back to 133.50, then 133.0. Stop abv 134.70.
GBPUSD 0/- N-term res at 1.6735, abv sees 1.6785 else rangebound 1.6640-1.6735.
AUDUSD 0 Failure to break 0.9370 risks deeper retracement to 0.9265. A break abv targets 0.9425.

FX-Options Comment
EURUSD Brokers were looking to sell EURUSD atm and upside overnight to 3-wk on Friday
so likely to see some offers capping spot moves higher.
USDJPY 1w upside being sold in Asia today with the expiry being a Tokyo holiday vols are already
low but spot only manages a 30 or so point move in Asia prompting pressure on gamma.
AUDUSD Back end vega remains well bid and curve holds steady but mainly seeing sellers of short
date strikes via spreads into buying 1-2mth area.

Equities Daily stance Comment

DAX 0/+ Buy at the break of 5700 targeting 5740. S/L below 5680.
FTSE 0/+ Buy at the break of 5300 targeting 5331. S/L below 5282.
S&P500 0/+ Buy at the break of 1094 targeting 1107. S/L below 1090.
Nasdaq100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 1120 and target 1131. Stop below 1115.
Silver 0/+ Buy at the break of 17.80 and target 18.00. Stop below 17.70.
Oil (CLZ9) 0/+ Buy at the break of 77.80 and target 79.50. Stop below 76.80.

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
07-jul 07-sep 07-nov 07-jan 07-mar 07-maj 07-jul 07-sep 07-nov
17-11-2008 17-01-2009 17-03-2009 17-05-2009 17-07-2009 17-09-2009
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
maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09
jan-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 edging lower, now at 23.

1
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