Daily Trading Stance Wednesday, October 14, 2009

Theme Comment
Intel announced very good results yesterday with sequential revenues and earnings growth (and both also beat
analysts’ expectations). Intel’s solid performance will drive equities higher today from the get go.
The earnings season is picking up steam and several companies will report results today. We maintain our expectation
that earnings in general will beat analysts’ estimates, which in turn will drive markets higher. In particular, pay
attention to JPMorgan.
We see a resistance around 1,079 in S&P 500, and if we break through that level (the future currently implies that we
will) our eyes will be on the 1,121 resistance level.
In terms of macro data, the main releases today will be US Retail Sales and minutes from the FOMC meeting.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
UK 08:30 Claimant Count Rate (SEP) 5.1% 5.0%
EC 09:00 Industrial Production YoY (AUG) -15.5% -15.9%
US 12:30 Advance Retail Sales (SEP) -2.1% 2.7%

FX Daily stance Comment

EURUSD 0/+ Still prefer to buy dips down to 1.4850 for a push through 1.49 en-route to 1.50 eventually
USDJPY 0/- Res now at 89.50 for a push down to 88.60, then 88.25
EURJPY 0/- Seen capped at 133.0 now for a push back to 131.50 lvls, stop abv 133.50
GBPUSD 0/- Risk current rebound can reach 1.6025-30 but still sell for 1.55850 again, stop abv 1.6120
AUDUSD 0/+ Rally expected to continue to 0.9280 lvls while support at 0.9090 holds

FX-Options Comment
EURUSD Market was bid for 4mth and out vega with downside interest. Risk reversals getting paid
(buying EUR puts) as well so the curve should remain well supported.
USDJPY Gamma turns better bid as Dollar selling continues. 1mth riskies is back at 2.0 favouring
USD puts so market is still nervous around these levels.
AUDUSD Vols were bid this session as spot drives higher above 91.00 Gamma remains well bid and
risk reversals are moving away from AUD puts towards flat.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5700 targeting 5757. S/L below 5675.
FTSE100 0/+ Buy on dips towards 5145 targeting 5182. S/L below 5130.
S&P500 0/+ Buy at the break of 1080 targeting 1088. S/L below 1077.
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0/+ Look to buy dips down to 1,060 for another test for new 2009 highs. Nervous below 1,050
Silver 0/+ Expect break abv 18.0 to target 18.40 levels. Below 17.80 would defer
Oil (CLX9) 0/+ Next target at 75.90. Above there and it’s open skies up to $95 ! Suppt now 73.50

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(G
Bef-Mkt Abbott Laboratories 0.896
US 15:00
MT) JPMorgan 0.508
 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
04-jun 04-aug 04-okt 04-dec 04-feb 04-apr 04-jun 04-aug 04-okt 15-10-2008 15-12-2008 15-02-2009 15-04-2009 15-06-2009 15-08-2009
#N/ A Reques t ing Dat a. . . Saxo CDS Index

USD breakeven 10 Year – an expression for measuring Credit Default Swaps are expressions for the
inflation expectations. perceived 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
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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