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Daily Trading Stance Wednesday, November 25, 2009

Theme Comment
Yesterday’s GDP data was basically in line with expectations and the Conference Board Consumer Confidence was
better than expected. The FOMC minutes unfortunately showed that the most important economic institution in the
world is confused and in completely uncharted territory. E.g. they are forecasting 9.5% unemployment rate in 2010?!?
The yield curve immediately shifted lower, since everybody knows that is not going to happen. In other words, the
Fed has revealed that monetary policy will remain lax in all of 2010.
Another data-heavy day: The USD will edge lower and risk (stocks, HY, AUD etc.) will edge higher.

Economic Data Releases
Country Time (GMT) Name Expectation Prior Comment
US 13:30 Personal Income/Spending MoM (OCT) 0.1% / 0.5% 0.0% / -0.5%
US 13:30 Durable Goods Orders MoM (OCT) 0.5% 1.4% Saxo Bank: 0.3%
US 15:00 New Home Sales MoM (OCT) 0.4% -3.6% Saxo Bank: -1.5%

FX Daily stance Comment
EURUSD 0/+ Buy dips to 1.4955, or break of 1.5015, for a test of 1.5060. Stop below 1.4910.
USDJPY 0/- Sell rallies to 88.50-60 res area for a push through 88.0 targeting 2009 low of 87.15.
EURJPY 0 Expect consolidation within a 132.0 -133.0 band.
GBPUSD 0/+ Break abv 1.6620 suggests 1.6675 next target but seen capped there for return to 1.6585-95.
AUDUSD 0/- May have seen temp top at 0.9262. Retracement can extend to 0.9220 before rebound higher.

FX-Options Comment
EURUSD Vols have slipped with plenty of sellers for strikes 7 Jan and under. As spot revisits the
1.50 area, expect more offers keeping spot capped.
USDJPY Seeing a few buyers of short date low delta downside this morning with the move in spot
lower. 8800 level remains key and gamma being at such low levels remains good value.
AUDUSD Front end remains soft all day in Asia. 1m traded down to 14.2 and spot has settled in
a range around 9250 level. Few buyers of upside 9300-9400 strikes for 3w-1m area.

Equities Daily stance Comment
DAX 0/+ Buy on dips towards 5748 targeting 5784. S/L below 5731.
FTSE 0/+ Buy on dips towards 5311 targeting 5344. S/L below 5295.
S&P500 0/+ Buy on dips towards 1102 targeting 1110. S/L below 1099.
NASDAQ10 0/+
DJIA 0/+

Commodities Daily Stance Comment
Gold 0/+ Buy on dips towards 1175 and target 1185. Stop below 1170.
Silver 0/+ Buy around 18.75 and target 18.95. Stop below 18.66.
Oil (CLZ9) 0/+ Buy on dips towards 76.10 and target 78. Stop below 75.20

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

Top 100 Global Stocks CDS Index
US Breakeven 10 Year 140







16-jul 16-sep 16-nov 16-jan 16-mar 16-maj 16-jul 16-sep 16-nov
26-11-2008 26-01-2009 26-03-2009 26-05-2009 26-07-2009 26-09-2009
US Breakeven 10 Year 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 56.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

30 6

25 5

20 4

15 3

10 2

5 1

0 0
apr-08 jul-08 okt-08 jan-09 apr-09 jul-09 okt-09
nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09 nov-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.
12 40




6 20


2 5

maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09
jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is edging lower, now at 20.

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