Daily Trading Stance Tuesday, August 11, 2009

Theme Comment
US Stock markets retraced a bit yesterday, but did show a remarkable strong rebound after touching the 1000-level.
We expect equities to continue surging in the short run. Be aware though that we are still trading at very low volume.
The JPY rose for a second day yesterday against the EUR on the back of reports showing that the Chinese Industrial
output grew less than expected and exports fell.
Look for wholesale inventories in the US today – this is important.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
CA 12:15 Housing Starts (JUL) 145.0K 140.7K
US 12:30 Nonfarm Productivity (2Q) 5.5% 1.6%
US 14:00 Wholesale Inventories (JUN) -0.9% -0.8%

FX Daily stance Comment

EURUSD 0/- Resistance moving down to 1.4180-90 lvl. Sell rallies for 1.4050, stop abv 1.4250.
EURJPY 0 136.40-50 suppt holding for now. Sell break below for 133.0, else ranging 136.50-137.50.
USDJPY 0/+ Look to buy dips to 96.50 for 97.50, stop below 96.05.
GBPUSD 0/- 1.64 initial target and may hold sht/term. Expect consolidation 1.6430-1.6530.
AUDUSD 0/- Sell break below 0.8320-25 for 0.8250 else trade 0.8330-0.8400 range.

FX-Options Comment
EURUSD Vols were very offered yesterday, suggesting that spot should head back to the old range.
Large option (1 yard) 1.40 strike expiring Friday likely to act as magnet for spot.
USDJPY Vols are bid across the curve today as spot pushes lower on weaker Chinese GDP numbers.
Should spot move back to 9400 there will be some scramble for downside strikes.
AUDUSD Gamma continued weaker despite the threat of risk unwind, 3m-6m vols are bid and
saw some buying interest for downside strikes throughout the day.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5400 targeting 5445. Stop below 5390.
FTSE 0/+ Buy on dips towards 4707 targeting 4742. Stop below 4692.
S&P500 0/+ Buy on dips towards 1005 targeting 1012. Stop below 1005.
Nasdaq 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0/- Sell on rallies towards 949 and target 940. Stop above 952.
Silver 0 Neutral.
Oil 0/- Sell on rallies towards 70.90 and target 70.40. Stop above 71.00.

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
01-apr 01-jun 01-aug 01-okt 01-dec 01-feb 01-apr 01-jun 01-aug 12-08-2008 12-10-2008 12-12-2008 12-02-2009 12-04-2009 12-06-2009
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 52.
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
dec-07 mar-08 jun-08 sep-08 dec-08 mar-09 jun-09
0
aug-07 okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09 aug-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
jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09
okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09
CBOE SPX VOLATILITY INDX

GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is slightly below 25.

1
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