Daily Trading Stance Tuesday, December 08, 2009

Theme Comment
US Consumer Credit still dropping, but less than expected, which should be USD positive, but Bernanke’s comments
yesterday were decidedly bearish (“economy facing formidable headwinds” and “inflation remains subdued”), so the
USD went lower. It is again flirting with the 55 DMA in the DXY and EURUSD. Still, there is hope for USD bulls, but only
below 1.4970 in EURUSD.
Stocks were also hurt by the Bernanke comments and the “old correlation” (negative btw USD and stocks) was
reinstating itself.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
UK 09:30 Industrial Production MoM (OCT) 0.5% 1.6%
GE 11:00 Industrial Production MoM (OCT) 1.0% 2.7%
CA 14:00 Bank of Canada Rate 0.25% 0.25% 0.25%

FX Daily stance Comment

EURUSD 0/- Sell at the break of 1.4820 and target 1.4760. Stop above 1.4850.
USDJPY 0/+ Buy on dips towards 88.51 and target 89.60. Stop below 87.80.
EURJPY 0/- Sell at the break of 131.60 and target 130.75. Stop above 132.
GBPUSD 0/- Sell on rallies towards 1.64 and target 1.6270. Stop above 1.6450.
USDCAD 0/+ Buy on dips towards 1.05 and target 1.06. Stop below 1.0450.

FX-Options Comment
EURUSD Front end vols slip lower as spot continues to trade in a range. Back end risk reversals
are seeing better bids as spot has not quite retraced from last week’s levels.
USDJPY Curve turns bid as spot trades under 8900 levels. 2-3m upside strikes are seeing a bit of
bargain hunting. Should spot break below 8800, vols have more room to spike.
AUDUSD Vols generally softer this morning in Asia. There is still noted buying of low delta upside
strikes for Jan-Feb area and also over FOMC rate decision next week.

Equities Daily stance Comment

DAX 0/- Sell on rallies towards 5780 targeting 5730. S/L above 5800.
FTSE 0/- Sell on rallies towards 5310 targeting 5260. S/L above 5333.
S&P500 0/- Sell at the break of 1098 targeting 1089. S/L above 1104.
NASDAQ100 0/- Sell at the break of 1778 targeting 1765. S/L above 1785.
DJIA 0/-

Commodities Daily Stance Comment

Gold 0/+ Buy at the break of 1171 and target 1191. Stop below 1165.
Silver 0/- Sell at the break of 17.85 and target 17.50. Stop above 18.00.
Oil (CLF0) 0/+ Buy at the break of 74.50 and target 76.00. Stop below 73.80.

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

Top 100 Global Stocks CDS Index

US Breakeven 10 Year 140
2,5

2 120

1,5
100

80

0,5

60
0

-0,5
40
29-jul 29-sep 29-nov 29-jan 29-mar 29-maj 29-jul 29-sep 29-nov
09-12-2008 09-02-2009 09-04-2009 09-06-2009 09-08-2009 09-10-2009
US Breakeven 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 53.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

30 6

25 5

20 4

15 3

2
10

1
5

0
0
apr-08 jul-08 okt-08 jan-09 apr-09 jul-09 okt-09
nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09 nov-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 35

30
10

25
8

20

6
15

4
10

2 5

0
0
maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09
feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is now at 22.

1
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