Daily Trading Stance Monday, October 12, 2009

Theme Comment
We have a positive stance on risky assets in general today though expect a fairly quiet day as data released are
limited. We will open around 0.5% higher in Europe after which we buy the dips.
Philips can out much better than expected on the earnings side – and also beat the consensus of expectations on
revenues. The result is driven by cost-cutting and revenues are still down hard YoY (-19%).
This is a busy week in terms of both companies reporting and macro data released, but we’ll start off with a slow day.
No data releases worth mentioning is released (Treasury’s Krueger speaks later today).

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
US 17:15 Treasury’s Krueger Speaks in St. Louis - - -

FX Daily stance Comment

EURUSD 0/+ Look to buy dips down to 1.4660-70 for a rebound back through 1.4750. stop below 1.4610
USDJPY 0/+ Break abv 90.0 can extend to 90.40, possibly 91.0. Suppt now moves up to 89.40-50
EURJPY 0/+ Look for rebound to extend up to 133.0 while suppt at 131.80 holds
GBPUSD 0/- Res now at 1.5850-60 for a push through 1.58 en-route to 1.5775 then 1.5750. stop abv 1.5910
AUDUSD 0/+ While 0.8980-00 holds expect another test of 0.9090-00 levels. Stop below 0.8930

FX-Options Comment
EURUSD Gamma as softened as spot continues to move off the highs. Risk reversals continue to
remain well bid. Look for spot to drift lower or establish into short term range.
USDJPY Curve is weaker in Asia as spot moves above 90.00. Lack of exporter offers in spot due to
a Japanese holiday should keep vols offered especially front end.
AUDUSD Mid curve vols continue to be bid but with spot re-settling in a range we are seeing some
gamma offers. Topside strikes till in demand.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5712 targeting 5750. S/L below 5688.
FTSE100 0/+ Buy on dips towards 5162 targeting 5190. S/L below 5145.
S&P500 0/+
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0/+ While suppt at 1,045 holds, expect to challenge o/n highs at 1,061 again
Silver 0/+ Expect to challenge abv 18.0 near-term. Suppt now expected at 17.70-75 lvl
Oil (CLX9) 0/+ Prefer to buy dips down to 72.0 lvl for a test of 73.0 res. Stop below 71.30

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 Requesting Data... 140
3

2,5
120

100
1,5

1 80

0,5

60

-0,5 40
02-jun 02-aug 02-okt 02-dec 02-feb 02-apr 02-jun 02-aug 02-okt 13-10-2008 13-12-2008 13-02-2009 13-04-2009 13-06-2009 13-08-2009
#N/ A Reques t ing Dat a. . . 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 57.
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
feb-08 maj-08 aug-08 nov-08 feb-09 maj-09 aug-09
0
okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09 aug-09 okt-09
M o o d y B A A - US Ge n eri c Go vt 3 0 Ye ar Yi e l d M o o d y A A A - US Ge n eri c Go vt 3 0 Ye ar Yi e l d
EUR- USD OPT VOL 1W EUR- USD OPT VOL 1M EUR- USD OPT VOL 1Y

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 50

45
10
40

35
8
30

6 25

20

4 15

10
2
5

0
0
mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09
CBOE SPX VOLATI LI TY I NDX

GDM AHungar ian - Ger m an Cz echRepublic - Ger m an Poland - Ger m an

The VIX Index is now at 24.

1
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