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Daily Trading Stance Monday, October 19, 2009

Theme Comment
Mixed US figures on Friday. Industrial Production and Capacity Utilization better than expected, but Univ. of Michigan
confidence was disappointing.
Not too convincing close in stocks on Friday, but Chinese stocks are higher and commodities also saw some support
overnight. Corporate bond spreads are still supportive of the overall risk picture… at least in the short term.
Watch out for Apple and Texas Instruments today, which could have a material impact on stocks.

Economic Data Releases


Country Time (GMT) Name Expectation Prior Comment
CA 12:30 Int’l Securities Transactions (AUG) 3.000B 0.351B
US 15:00 Bernanke Speaks on Financial Crisis
US 17:00 NAHB Housing Market Index (OCT) 20 19

FX Daily stance Comment


EURUSD 0/- Look to sell rallies to 1.4915-25 region for test of 1.4800, stop abv 1.4965.
USDJPY 0 91.0 still looks a pivot point. Holding below risks deeper correction to 90.60. Abv targets 91.75.
EURJPY 0 Expect to be confined to a 134.00 – 135.50 range.
GBPUSD 0/- Seen capped at 1.6350-60. Break below 1.6280 targets 1.62 else 1.6280 – 1.6350 range.
AUDUSD 0/- Rally limited to 0.9220-30. Sell for 0.9090 target, intermediate suppt at 0.9125.

FX-Options Comment
EURUSD With spot off the highs, vols should be expected to weaken. Vega is now less sought
after compared to last week. Spot towards 1.48 should take some pressure off the curve.
USDJPY Yen vols are still holding up as vega in the back end sees some bids. 1mth risk reversals
are coming off as spot holds above 90.00 levels.
AUDUSD Curve still bid despite spot not breaking any new ground. Mid curve vols have been paid up
up by the market over the last week so supply is likely to stall for the moment.

Equities Daily stance Comment


DAX 0/+ Buy on dips towards 5738 and target 5791. Stop below 5716.
FTSE100 0/+ Buy on dips towards 5190 and target 5236. Stop below 5174.
S&P 500 0/+ Buy on dips towards 1086 and target 1096. Stop below 1081.
Nasdaq100 0/+ Buy on dips towards 1736 and target 1756. Stop below 1727.
Dow Jones 0/+

Commodities Daily Stance Comment


Gold 0/+ Buy on dips towards 1045 and target 1055. Stop below 1040.
Silver 0/- Sell at the break of 17.17 and target 16.87. Stop above 17.30.
Oil (CLZ9) 0/- Sell around 78.50 and target 77. Stop above 79.15.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(G
11:30 BB&T Corp. 0.247 0.290
US 20:30
MT) Texas Instruments Inc. 0.400 0.240
US 20:30 Apple Inc. 1.432 1.350
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
09-jun 09-aug 09-okt 09-dec 09-feb 09-apr 09-jun 09-aug 09-okt 20-10-2008 20-12-2008 20-02-2009 20-04-2009 20-06-2009 20-08-2009
US Br eakeven 10 Year 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 55.
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
mar-08 jun-08 sep-08 dec-08 mar-09 jun-09 sep-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 45

40
10
35

8 30

25
6
20

15
4

10

2
5

0
0
apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-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 edging lower, now at 21.

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