Daily Trading Stance Friday, June 19, 2009

Theme Comment
Buy on dips is back. S&P500 rallied – especially led by banks – and stays above its 200 DMA.
Long-end rates shot higher as Leading Indicators and the Philly Fed were out better than expected.
Short-term risk indicators have gone considerably higher in the past week, but commodities are holder up and 10-
year break-even inflation expectations are moving higher – anticipating a continuation of the reflation trade.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
CA 12:30 Retail Sales MoM (APR) 0.1% 0.3%

FX Daily stance Comment

EURUSD 0/+ Cautiously bullish for now, we are buying looking for upside towards 1.4010, stop at 1.3910.
EURJPY 0/+ Looks like solid bids available around 133.00, looking for 135.50.
USDJPY 0/+ Support 96.60, resistance around 97.20 area, and more offers around 98.00.
GBPUSD 0 Ranging 1.6385 and 1.6300, look for cable to hold around these levels.
AUDUSD 0/+ Gains bring capped at 0.8050 for now, work to buy break of 0.8055 bid.

FX-Options Comment
EURUSD Still no clear direction in the market and still mainly buyers in 1w-2w strikes. Could likely
see it trading in a range again for some days until FOMC next week.
USDJPY Yen vols are crushed as spot does not seem to be heading any lower. Front end sees
plenty of sellers so spot is likely to trade in a range or creep higher.
AUDUSD Vols are not spared the selloff as well, with spot up around half a figure in Asia offers
are getting aggressive. Likely to see spot steadily higher.

Equities Daily stance Comment

DAX 0/+ Buy towards 4860 targeting 4910. S/L below 4825.
FTSE 0/+ Buy towards 4300 targeting 4340. S/L below 4275.
S&P500 0/+ Buy towards 922 targeting 930. S/L below 917.
Nasdaq100 0/+
Nikkei 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy around 933 and target 945. Stop below 928.
Silver 0/+ Buy at the break of 14.42 and target 14.80. Stop below 14.20.
Oil 0/- Sell on rallies towards 72 and target 70. Stop above 73.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(GM
T)
 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
08-feb 08-apr 08-jun 08-aug 08-okt 08-dec 08-feb 08-apr 08-jun
20-06-2008 20-08-2008 20-10-2008 20-12-2008 20-02-2009 20-04-2009
US Breakeven 10 Year Saxo CDS Index

USD breakeven 10 Year – an expression for measuring inflation Credit Default Swaps are expressions for the perceived
expectations. default risk in a company. Now at 83.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

6
30

5
25

4
20

3
15
2
10
1

5
0
okt-07 jan-08 maj-08 aug-08 nov-08 feb-09 maj-09
0
jun-07 aug-07 okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-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 70

60
10

50
8

40

6
30

4
20

2 10

0
0
dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09
aug-08 sep-08 okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

Some optimism after the G20 meeting. Especially for Hungary. The VIX Index is now edging higher. Above 30 again.