Daily Trading Stance Wednesday, March 03, 2010

Theme Comment
 After a knee-jerk reaction in the beginning of this week, the EUR might be coming back in the next couple of days.
Especially interesting to see a total rejection of new lows in EURUSD yesterday. Greek 2-year yields have dropped 1
percentage point in three days and the CDS dropped 80 bps. This should also boost confidence in the EUR from record
lows.
 We have a buy on dips stance for stocks ahead of the ADP Employment Change today, which could disappoint slightly.
The ISM should do fine, but take profit on longs ahead of the Fed’s Beige Book, which is likely to continue painting a
bleak picture of the US economy.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
EC 10:00 Retail Sales MoM (JAN) -0.1% -0.3% 0.5%
US 13:15 ADP Employment Change (FEB) -20K -22K
US 15:00 ISM Non-manufacturing (FEB) 51.2 51.0 50.5

FX Daily stance Comment

EURUSD 0/+ Look to buy dips to 1.3610 lvl for a push to 1.3685, poss 1.3735. Stop below 1.3570.
USDJPY - Sell here (88.80-90) for a test of 88.0. Stop abv 89.25.
EURJPY 0/+ Finding suppt at 120.80-90 area for a push to 121.50, poss 122.0. Stop below 120.50.
GBPUSD 0/+ Look to buy dips below 1.50 with n/t suppt at 1.4985. Stop below 1.4940.
AUDUSD 0/+ While holding abv 0.9020-30 look for gains to 0.9150. Stop below 0.8995.

FX-Options Comment
EURUSD Vols were slightly offered as the Dollar got sold and the risk reversals are staying firm.
1.30 strikes for 1-3m are still seeing demand which might keep spot capped on the upside.
USDJPY Vols got paid as spot dipped towards supposed barriers under 8850 but this has now
calmed and seeing gamma trade softer once again. Spot under 8850 to lift vols.
AUDUSD Front end has moved lower with spot trading around 9050 levels. There is plenty of
gamma supply in this region and will need much larger moves to lift vols.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5741 targeting 5775. S/L below 5727.
FTSE 0/+ Buy on dips towards 5442 targeting 5474. S/L below 5428.
S&P500 0/+ Buy on dips towards 1112 targeting 1120. S/L below 1109.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 1131 and target 1142. Stop below 1128.
Silver 0/+ Buy at the break of 17.09 and target 17.30. Stop below 17.00.
Oil (CLJ0) 0/+ Buy on dips towards 79.00 and target 81.00. Stop below 78.40.

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
21-okt 21-dec 21-feb 21-apr 21-jun 21-aug 21-okt 21-dec 21-feb
03-03-2009 03-05-2009 03-07-2009 03-09-2009 03-11-2009 03-01-2010
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 50.
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
jul-08 okt-08 jan-09 apr-09 jul-09 okt-09 jan-10
02-08 04-08 06-08 08-08 10-08 12-08 02-09 04-09 06-09 08-09 10-09 12-09 02-10

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.
PIIGS CDS 5 year CBOE SPX VOLATILITY INDEX
450 35

400
30

350
25
300

20
250

200 15

150
10

100
5
50

0
0
aug-09 sep-09 okt-09 nov-09 dec-09 jan-10 feb-10
jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09 jan-10 feb-10
CBOE SPX VOLATILITY INDX
Portugal Ireland Italy Greece Spain

The VIX Index is now at 19.

1
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