Daily Trading Stance Thursday, September 17, 2009

Theme Comment
Industrial Production and Consumer Prices from the US surprised to the upside yesterday, and today we expect more
macro data to come out better than expected. Particularly initial jobless claims could surprise to the upside given that
last week contained a holiday, Labor Day.
The Cash for Clunkers program has definitely helped production over the summer, but new numbers suggest the
September will be less pretty. Chrysler Group reports that nationwide industry sales are off 19% so far this month.
Stocks took off again yesterday and we see no reason to change our stance; buy on dips in equities with a mid-term
target of 1,121 in S&P500.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
UK 08:30 Retail Sales MoM (AUG) - 0.4%
US 12:30 Housing Starts (AUG) 590K 581K
US 12:30 Initial Jobless Claims (SEP) 555K 550K

FX Daily stance Comment

EURUSD 0/+ Break higher targets 1.4780 but risk we run out of steam. 1.4670 – 1.4750 range
USDJPY 0 134.50 next res lvl. Expect to trade a 133.50-134.50 range
EURJPY 0/- Seen capped at 91.70-80 lvl. Prefer sell rallies for a re-test of low 90.0 lvls
GBPUSD 0/- Abv res at 1.6525 sees 1.6575 in target but still bearish for 1.63 levels
AUDUSD 0 Rally seen limited to 0.8780-00. Bias to sell rallies for re-test of 0.8650

FX-Options Comment
EURUSD Should spot break much higher, we should see front end getting paid up. The 1 week
now gets the FOMC rate decision so it should hold up.
USDCHF Relatively quiet session which sees vols lower as spot holds above 91.00 level most of the
time. Front end should see bids returning once we get below 90.00.
AUDUSD Very few interests out in the broker market today. The curve looks weak with few buying
interests looking to guy 1mth area upside 89-90 strikes.

Equities Daily stance Comment

DAX 0/+ Buy around 5725 targeting 5775. S/L below 5695.
FTSE 0/+ Buy around 5150 targeting 5185. S/L below 5125.
S&P500 0/+ Buy around 1063 targeting 1073. S/L below 1060.
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0 Starting to look overbought for now. Resistance at 1,025 and higher at 1,032.
Silver 0/+ Dollar weakness continues to push silver higher, 18.00 likely target.
Oil 0 Still oscillating around $70.00. Look to trade range between $75 and $69 med-term.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(G
MT)
 Daily Trading Stance

Top 100 Global Stocks CDS Index

#N/A Connection 140
3

2,5
120

100
1,5

1 80

0,5

60

-0,5 40
07-maj 07-jul 07-sep 07-nov 07-jan 07-mar 07-maj 07-jul 07-sep 17-09-2008 17-11-2008 17-01-2009 17-03-2009 17-05-2009 17-07-2009
# N/A C o n n ecti o n 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
jan-08 apr-08 jul-08 okt-08 jan-09 apr-09 jul-09
0
sep-07 nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09
Moody BAA - U S G eneric G ovt 30 Year Yield Moody AAA - U S G eneric G ovt 30 Year Yield
EUR -USD OP T VOL 1 W EUR -USD OP T VOL 1 M EUR -USD OP T VOL 1 Y

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
mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
C B OE SP X V OLA TILITY INDX

GDM A Hu ngari an -German C ze ch R e pub l ic -German P o l an d -German

The VIX Index is heading lower, now at 23.

1
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