Daily Trading Stance Friday, July 03, 2009

Theme Comment
The market was taken by surprise at the release of worse than expected Nonfarm Payrolls (out at -467K vs. -365K
expected). The Unemployment Rate was lower than expected at 9.5% and the “broad” unemployment (including
unwilling marginally attached and part-time workers) rose to 16.5%.
Crude Oil is factoring in some weakness here and threatens to break the 66ish support level. Be ready for serious
downside if that happens.
S&P500 broke lower and closed at 896. The US market is closed today (due to 4th of July tomorrow) and with the lack
of important data releases today, markets are likely to be relatively quiet. Only important release is the E-Z Retail
Sales.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 08:00 PMI Services (JUN) 44.5 44.5
UK 08:30 Mortgage Equity Withdrawal (1Q) -£9.0B -£8.0B
EC 09:00 Retail Sales MoM (MAY) -0.1% 0.2%

FX Daily stance Comment

EURUSD 0/- Look to sell rallies to 1.4015-25, stop above 1.4110 with 1.39 a preferred target.
EURJPY 0/- Any rebound seen limited to 135.0. Sell there for 132.50, stop abv 136.0.
USDJPY 0/- Sell rallies to 96.25 for a push down to 95.0. Stop abv 96.75.
GBPUSD 0/- Look to sell rallies to 1.6425 max. Weakness could extend to 1.6230 level.
AUDUSD 0 Test of 0.79 survived. Likely ranging 0.7925-0.8025 in a quiet session.

FX-Options Comment
EURUSD Vols was sold off very heavily during Thursday’s trading especially after NFP, which did not bring the
option market the expected volatility. With US holiday ahead and much lower implied vols we shall
expect spot to enter range more and trend less.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 4670 and target 4730. Stop below 4645.
FTSE 0/+ Buy on dips towards 4215 and target 4255. Stop below 4200.
S&P500
Nasdaq100
Nikkei 0

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 930 and target 945. Stop below 927.
Silver 0/+ Buy at the break of 13.33 and target 13.70. Stop below 13.20.
Oil 0/- Sell on rallies towards 68 and target 66.50. Stop above 69.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(G
MT)
 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
22-feb 22-apr 22-jun 22-aug 22-okt 22-dec 22-feb 22-apr 22-jun 04-07-2008 04-09-2008 04-11-2008 04-01-2009 04-03-2009 04-05-2009
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 79.
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
nov-07 feb-08 maj-08 aug-08 nov-08 feb-09 maj-09
0
jun-07 aug-07 okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-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 60

10 50

8 40

6 30

20
4

10
2

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

The VIX Index is edging higher, but still below 30.