Daily Trading Stance Monday, June 22, 2009

Theme Comment
This week is interesting, because the US Treasury plans to auction $104B of Treasury Notes and an additional $61B of
Bills. That amounts to $8.58 trillion USD on an annualized basis. Watch out for higher rates.
The trend in stocks is still positive and we still recommend buying on dips and the reflation trade is still on – judging
by commodities, credit spreads etc.
But the fundamental case for lower stocks remains intact. Insiders have been net sellers for 14 straight weeks now.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
GE 08:00 IFO Business Climate (JUN) 85.0 84.2
GE 08:00 IFO Current Assessment (JUN) 83.0 82.5
GE 08:00 IFO Expectations (JUN) 86.9 85.9

FX Daily stance Comment

EURUSD 0/+ Buy on dips towards 1.3850 and target 1.3950. Stop below 1.38.
EURJPY 0/+ Also on current support, looking to go long on additional momentum higher.
USDJPY 0 Quiet, narrow range. No direction as such and little lead from economic data.
GBPUSD 0/+ Expecting tight range as well but cable likely grinds higher slowly. Support 1.6400.
AUDUSD 0 Bids available below 0.7980. Offers around 0.8050.

FX-Options Comment
EURUSD Frontend vols sold off heavily on Friday and interests still don’t have a clear direction. Adds to the
belief that mkt is waiting for FOMC this week for a directional view. Suggest mkt continue to range.
USDJPY

AUDUSD

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 4780 and target 4880. Stop below 4735.
FTSE 0/+ Buy at the break of 4373 and target 4420. Stop below 4343.
S&P500 0/+ Buy at the break of 931 and target 943. Stop below 925.
Nasdaq100 0/+ Buy at the break of 1478 and target 1494. Stop below 1470.
Nikkei 0/+ Buy on dips towards 9700 and target 9900. Stop below 9640.

Commodities Daily Stance Comment

Gold + Buy around 932 and target 944. Stop below 925.
Silver 0/- Sell at the break of 13.94 and target 13.60. Stop above 14.05.
Oil 0/- Sell at the break of 68.90 and target 67. Stop above 69.90.

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
11-feb 11-apr 11-jun 11-aug 11-okt 11-dec 11-feb 11-apr 11-jun
23-06-2008 23-08-2008 23-10-2008 23-12-2008 23-02-2009 23-04-2009
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 84.
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
nov-07 feb-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 jun-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 lower. Below 30 again.