Daily Trading Stance Monday, August 17, 2009

Theme Comment
With the failing of Colonial Bank Group and four other banks on Friday, we estimate that the FDIC itself is now
insolvent and will have to ask the Treasury for more money.
US Capacity Utilization increased 0.5% over the reading for June, but the CPI figures continue to prove our
deflationary scenario with headline CPI now running at -2.1% YoY.
Broad-based risk-aversion on Friday: Continuation of strength in treasuries and the JPY. The CRB index was down 3%
and stocks went lower on Friday. Also some skepticism in high-yields bonds and AUD.
The futures are indicating more downside today. Look out for a break below 992 in S&P500 today.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 09:00 Trade Balance (JUN) 1.3B 0.8B
US 12:30 Empire Manufacturing (AUG) 3.00 -0.55
US 17:00 NAHB Housing Market Index (AUG) 18 17

FX Daily stance Comment

EURUSD 0/- A push thru 1.4140 targets 1.41, then 1.4050. Play from short side.
EURJPY 0/- Expect a challenge of 133.0 suppt. Sell rallies to 134.10.
USDJPY 0/- Initial suppt at 94.40, then 94.0. Ranging 94.0-94.80 but play from short-side.
GBPUSD 0/- Res shifts down to 1.6480. Sell rallies for 1.6370-80.
AUDUSD 0/- Looking soft. Sell rallies to 0.8250-60 for 0.8125.

FX-Options Comment
EURUSD

USDJPY

AUDUSD

Equities Daily stance Comment

DAX 0/- Sell on rallies towards 5325 targeting 5250. Stop above 5335.
FTSE 0/- Sell on rallies towards 4724 targeting 4672. Stop above 4740.
S&P500 0/- Sell on rallies towards 997 targeting 985. Stop above 1000.
Nasdaq100 0/- Sell on rallies towards 1600 targeting 1580. Stop above 1604.
Nikkei

Commodities Daily Stance Comment

Gold 0/- Sell at the break of 942 and target 933. Stop above 946.
Silver 0/- Sell at the break of 14.40 and target 14.15. Stop above 14.55.
Oil 0/- Sell on rallies towards 68 and target 66. Stop above 69.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(G
Bef-mkt Lowe’s Companies 0.537 0.320
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

-0.5 40
07-apr 07-jun 07-aug 07-okt 07-dec 07-feb 07-apr 07-jun 07-aug 18-08-2008 18-10-2008 18-12-2008 18-02-2009 18-04-2009 18-06-2009
US Breakeven 1 0 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 56.
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
dec-07 mar-08 jun-08 sep-08 dec-08 mar-09 jun-09
0
aug-07 okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09 aug-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 60

10 50

8 40

6 30

20
4

10
2

0
0
jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09
okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
CBOE SPX VOLATILITY INDX

G DMA H ungarian - G erman Cz ech Republic - G erman Poland - G erman

The VIX Index is edging lower again, now just above 24.

1
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