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Monday, August 10, 2009
 
DailyTradingStance
 
Theme Comment
US figures on Friday led to optimism after the NFP came out at -247K vs. -325K expected and the Unemployment Ratewas at 9.4% vs. 9.6% expected (actually dropping 0.1% since June). However, consumers continued to deleverage
 –
 consumer debt decreased by $10.3B.S&P500 briefly traded above the 1014 level, but closed at 1010.Futures prices on the VIX show market expectations of a 13% increase over the next five weeks. Highest since August2008
 –
and a danger sign for stocks.
Economic Data Releases
Country Time (GMT) Name Expectation Prior CommentNO 08:00 CPI MoM (JUL) -0.2% 0.6%EC 08:30 Sentix Investor Confidence (AUG) -25.8 -31.3UK 23:01 RICS House Price Balance (JUL) -10.0% -18.1%FX Daily stance CommentEURUSD 0/- Still prefer to sell rallies to 1.4250 for a re-test of Fri levels. 1.4320 next res.EURJPY 0/+ Finding suppt below 138.0. Buy dips to 137.60, stop below 137.20 for 138.70.USDJPY 0/+ Likely finding suppt at, or close to, 97.0. 97.75 immed tgt, 99.0 after that.GBPUSD 0/- Expect res at 1.6740 to cap for 1.6650. Stop abv 1.6825.AUDUSD 0/- Currently testing 0.84 res, expect to hold for 0.8325, stop abv 0.8480.FX-Options Comment
EURUSD
ols sold off as expected after the payroll numbers on Friday but quickly stabilized. Riskreversals are still bid despite the drop in spot so expect a correction towards 1.44.
USDJPY
Mid curve is better bid even as spot pushes above
97.00 after Friday’s session. Risk
 reversals are coming off so downside nervousness has eased with spot at current levels.
AUDUSD
Spot still well supported and upside strikes still being bought. Gamma remains depressedmaking the slope of the vol curve steep. Expect spot to test 8500 level.Equities Daily stance Comment
DAX
0/- Sell at the break of 5430 targeting 5382. S/L above 5455.
FTSE
0/- Sell at the break of 4710 targeting 4666. S/L above 4740.
S&P500
0/- Sell at the break of 1005 targeting 998. S/L above 1008.
Nasdaq
0/- Sell at the break of 1613 targeting 1600. S/L above 1618.
Dow Jones
0/- Sell at the break of 9312 targeting 9256. S/L above 9343.Commodities Daily Stance CommentGold 0/- Sell at the break of 951 and target 941. Stop above 955.Silver 0 Neutral. Risk reward not convincing.Oil 0 Play break out. Sell at the break of 69.71. Buy at the break of 71.25.
Earnings Releases
CountryTime (GMT)Name EPS exp. EPS prior Comment
 
 1 
-0.500.511.522.5331-mar31-maj31-jul30-sep30-nov31-jan31-mar31-maj31-jul
US Breakeven 10 Year
US Breakeven10Year
 
40608010012014011-08-2008 11-10-2008 11-12-2008 11-02-2009 11-04-2009 11-06-2009
Top 100 Global Stocks CDS Index
Saxo CDS Index
 
05101520253035aug-07okt-07dec-07feb-08apr-08jun-08aug-08okt-08dec-08feb-09apr-09jun-09aug-09
EURUSD Opt. Vol.
EUR-USD OPT VOL 1WEUR-USD OPT VOL 1MEUR-USD OPT VOL 1Y
 
01234567dec-07mar-08jun-08sep-08dec-08mar-09jun-09
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
Moody BAA -US GenericGovt 30 Year YieldMoody AAA -US GenericGovt30Year Yield
 
024681012okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-0
CEE-German Govt. Bond Spreads
GDMAHungarian-German CzechRepublic -German Poland-German
 
0102030405060 jan-09feb-09mar-09apr-09maj-09jun-09jul-09
CBOE SPX VOLATILITY INDEX
CBOE SPXVOLATILITY INDX
 
DailyTradingStance
 
Credit Default Swaps are expressions for the perceiveddefault risk in a company.
Now at 52.
 Volatility at different time horizons. Too low, now? Spreads are easing, but still
showing tight corporate debtmarkets.
 The VIX Index is
slightly below 25.
 USD breakeven 10 Year
 –
an expression for measuring inflationexpectations.
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