Daily Trading Stance Wednesday, June 03, 2009

Theme Comment
The S&P500 edged higher and tested the trendline resistance at 950 (today 948). Although fundamentally unwarranted, a break
higher should be considered bullish. The labor market data and especially the ISM Non-Manufacturing could be triggers today.
Yesterday’s Pending Home Sales were showing a massive upwards surprise – but they were from April, where mortgage rates
made new lows (after QE). Because of the closing time for a US home sale, a lot of the pending home sales are not likely to
materialize due to dramatically higher mortgage rates now. Stay tuned for the Existing Home Sales to disappoint.
Also, look out for Euro-Zone GDP and Crude Inventories.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 09:00 E-Z GDP QoQ (1Q) -2.5% -2.5%
US 12:15 ADP Employment Change (MAY) -525K -491K
US 14:00 ISM Non-Manf. Composite (MAY) 45.0 43.7

FX Daily stance Comment

EURUSD 0/+ Dips prove short-lived. 1.4285-90 suppt, risk of 1.4240, for a test of 1.44+ levels
EURJPY 0/+ Looking for a test of 138.40 res. Meanwhile support edging up to 137.0
USDJPY 0/- Suppt at 95.35 holding but res at 96.00 and 96.50 behind. Prefer sell into rallies
GBPUSD 0/+ Looks to challenge 1.6680-90 res but may hold for retracement to 1.6480
AUDUSD 0/+ Targeting 0.8300 then 0.8370. Buy dips into support at 0.8200 now

FX-Options Comment
EURUSD Vols were paid up with interests still looking for low delta EUR calls as spot moves higher.
Saw a big buyer of 1w downside but market seemed to absorb that easily.
EURCHF Large German bank seen buying overnight 1.5250 EUR calls. Last time we saw this spot
rallied to the strike at expiry.
USDJPY Vols are better bid this session and any rally in spot have not brought sellers which
suggest the market is rather short gamma at these levels.

Equities Daily stance Comment

DAX 0/+ Buy at the break of 5163 targeting 5200. S/L below 5140.
FTSE 0/+ Buy at the break of 4485 targeting 4530. S/L below 4450.
S&P500 0/+ Buy at the break of 948 targeting 960. S/L below 940.
Nasdaq100 0/+
Nikkei 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy at the break of 989 and target 998. Stop below 984.
Silver + Buy around 16.15-20 and target 16.42. Stop below 16.
Oil 0/+ Buy at the break of 69.05 and target 70.50. Stop below 68.25.

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

US Breakeven 10 Year 140

Top 100 Global Stocks CDS Index
3

2,5
120

100
1,5

1
80

0,5

60
0

-0,5 40
23-jan 23-mar 23-maj 23-jul 23-sep 23-nov 23-jan 23-mar 23-maj 04-06-2008 04-08-2008 04-10-2008 04-12-2008 04-02-2009 04-04-2009

US Breakeven 10 Year Saxo CDS Index

USD breakeven 10 Year – an expression for measuring inflation Credit Default Swaps are expressions for the perceived
expectations. default risk in a company. Now at 85.
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
0 okt-07 jan-08 apr-08 jul-08 okt-08 jan-09 apr-09
maj-07 jul-07 sep-07 nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-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 90

80
10
70

8 60

50
6
40

4 30

20
2
10

0 0
aug-08 sep-08 okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09
GDMA Hungarian - German Czech Republic - German Poland - German CBOE SPX VOLATILITY INDX

Some optimism after the G20 meeting. Especially for Hungary. The VIX Index is edging lower. Now below 30.