Daily Trading Stance Thursday, January 28, 2010

Theme Comment
 Stocks reacting positively to both the FOMC statement (quite subdued optimism, but still scheduling the end of
various liquidity providing programs) and Obama’s State of the Union speech – promising to combat unemployment.
 It looks like we have a rejection of the USD here and that the bounce in risky assets will continue higher today. The
widening/worsening of the HY credit universe and the CDS market has stopped and that should also support risk.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
GE 08:55 Unemployment Rate (JAN) 8.2% 8.1%
EC 10:00 Consumer Confidence (JAN) -15 -16
US 13:30 Durable Goods / Ex. Trans. MoM (DEC) 1.8% / 0.9% 2.0% / 0.5% 0.2% / 2.0%

FX Daily stance Comment

EURUSD 0/+ Look to buy dips to 1.3980, target 1.4065, stop below 1.3925.
USDJPY 0/+ Buy into dips below 90.0 for a rebound back to 90.55 en-route to 91.0. Stop below 89.30.
EURJPY 0/+ Buy dips to 126.0 for a rebound back to 127.40. Stop below 125.50.
GBPUSD 0/+ Buy dips to 1.6150 for a rebound back to 1.6220. Stop below 1.6110.
AUDUSD 0/+ Likely finds suppt at 0.8970. Buy there for 0.9045 target. Stop below 0.8910.

FX-Options Comment
EURUSD Vols offered right after the FOMC rate decision but with the spot break of 1.40 in Asia
have started to find bids. Spot likely to retest lows around 1.3940.
USDJPY Upside short date strikes are being paid this morning as market gets excited about the
move above 9000. Back end vega continues to see good bids keeping it firm.
AUDUSD Vols came offered this morning with the spot rally above 9000 and has found a base with
the 1m trading at 13.0 compared to 12.75 earlier in the week when spot was higher.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5670 targeting 5700. S/L below 5655.
FTSE 0/+ Buy on dips towards 5249 targeting 5280. S/L below 5233.
S&P500 0/+ Buy on dips towards 1098 targeting 1104. S/L below 1094.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy at the break of 1092 and target 1104. Stop below 1088.
Silver 0 Neutral.
Oil (CLH0) 0/+ Buy on dips towards 73.50 and target 75. Stop below 72.80.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
FI (G(GMT)(GMT
11:00 Nokia 0.195 -0.151
US 12:00
) Ford 0.259 0.270
US 22:30 Microsoft 0.582 0.400
 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

-0,5
40
18-sep 18-nov 18-jan 18-mar 18-maj 18-jul 18-sep 18-nov 18-jan
29-01-2009 29-03-2009 29-05-2009 29-07-2009 29-09-2009 29-11-2009
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 50.
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
jun-08 sep-08 dec-08 mar-09 jun-09 sep-09 dec-09
01-08 03-08 05-08 07-08 09-08 11-08 01-09 03-09 05-09 07-09 09-09 11-09 01-10

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
10 35

9
30
8

25
7

6 20

5
15
4

3 10

2
5
1
0
0
jul-09 aug-09 sep-09 okt-09 nov-09 dec-09 jan-10
apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09 jan-10
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is now at 23.

1
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