Daily Trading Stance Tuesday, March 23, 2010

Theme Comment
 Stocks making a strong come-back in the late European session and the future is indicated higher.
 More focus on Greece: The CDS price jumped 50 bps. in three days and Trichet is refusing to give cheap loans. The
IMF might soon be involved on a Greek initiative, but 2-year yields are up by 80 bps. in the past three days and the
EUR is still suffering.
 Watch out for UK CPI/RPI and US housing data today as potential market triggers.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
UK 09:30 CPI / Core CPI YoY (FEB) 3.1% / 3.1% 3.5% / 3.1%
US 14:00 House Price Index MoM (JAN) -0.8% -1.6%
US 14:00 Richmond Fed Manufact. Index (MAR) 5 2

FX Daily stance Comment

EURUSD 0/+ Look to buy dips down to 1.3500-15 area for a rebound to 1.3625. Stop below 1.3473.
USDJPY 0 Expect to find res at 90.50 area but still ranging 89.80 - 90.50.
EURJPY 0/+ Look to buy dips to 122.00, stop below 121.65 for a 123.60 target.
GBPUSD 0/+ Prefer to buy here (1.5060-70) for a rebound back to 1.5170, stop below 1.5033.
AUDUSD 0/+ Buy dips to 0.9140-50 for a break abv 0.9190 for 0.9250. Stop below 0.9105.

FX-Options Comment
EURUSD Vols turned bid during the spot move below 1.35 and eased back after the NY cut. Market
remains nervous on the downside and should lend support to vols with a bearish spot.
USDJPY 1Y trades under 13% and rest of the curve remains soft. 9080 strikes for TK cut comes off
and market seeing small amount of buying in the front end.
AUDUSD Gamma sellers continue to keep front part of the curve low. Some interest in the 2w date
as it gets the next RBA decision but overall market seems to be directionless.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5970 and target 6000. Stop below 5955.
FTSE 0/+ Buy on dips towards 5634 and target 5665. Stop below 5620.
S&P500 0/+ Buy on dips towards 1163 and target 1169. Stop below 1160.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0 Neutral.
Silver 0/+ Buy at the break of 17.01 and target 17.26. Stop below 16.92.
Oil (CLK0) 0/+ Buy on dips towards 80.10 and target 81.50. Stop below 80.50.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(GMT
Aft-Mkt Adobe Systems 0.369 0.020 Q1
)
 Daily Trading Stance

Top 100 Global Stocks CDS Index

#N/A Requesting Data... 120
3

2.5

100
2

1.5

80

0.5
60

-0.5
40
11-nov 11-jan 11-mar 11-maj 11-jul 11-sep 11-nov 11-jan 11-mar
24-03-2009 24-05-2009 24-07-2009 24-09-2009 24-11-2009 24-01-2010
#N/A Requesting Data... 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 49.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

30 6

25 5

4
20

3
15

2
10

1
5

0
0
aug-08 nov-08 feb-09 maj-09 aug-09 nov-09 feb-10
03-08 05-08 07-08 09-08 11-08 01-09 03-09 05-09 07-09 09-09 11-09 01-10 03-10

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.
PIIGS CDS 5 year CBOE SPX VOLATILITY INDEX
450 35

400
30

350
25
300

20
250

200 15

150
10

100
5
50

0
0
sep-09 okt-09 nov-09 dec-09 jan-10 feb-10 mar-10
jul-09 aug-09 sep-09 okt-09 nov-09 dec-09 jan-10 feb-10 mar-10
CBOE SPX VOLATILITY INDX
Portugal Ireland Italy Greece Spain

The VIX Index is now at 17.

1
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