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Daily Trading Stance Monday, November 30, 2009

Theme Comment
The market could be back in risk-mode after Dubai World debt moratorium and thin Thanksgiving volume.
Stock market futures are higher and commodities are also crawling back. We therefore have a “buy-on-dips” stance
today.
We don’t have too many potential market moving data releases today. Watch out for Chicago PMI which is usually a
fairly good indicator of how tomorrow’s ISM Manufacturing will come out.

Economic Data Releases
Country Time (GMT) Name Expectation Prior Comment
CA 13:30 GDP QoQ (Q3) 1.0% -3.4%
US 14:45 Chicago PMI (NOV) 53.5 54.2
US 15:30 Dallas Fed Manuf. Activity (NOV) 0.0% -3.3%

FX Daily stance Comment
EURUSD 0 Maybe wild. 1.5140-50 caps but need to break 1.50 to suggest more downside. 1.50 – 1.51 meantime.
USDJPY 0/- Likely seen a n/term top at 87.40. Prefer to sell rallies to 87.15 for re-test of 85.70. stop abv 87.55.
EURJPY 0/- Rebound seen limited to 130.80. Prefer to short for 129.35 target, stop abv 131.10.
GBPUSD 0/- Seen capped at 1.6585. Sell rallies for 1.6470 target, stop abv 1.6640.
AUDUSD 0/+ Buy on dips towards 0.91 and target 0.9190. Stop below 0.9075.

FX-Options Comment
EURUSD Curve is likely to ease further from Friday’s levels as spot continues to push higher in the
face weaker dollar. Noted 3mth 1.44 buyers in the brokers on Friday.
USDJPY Yen vols comes off from the highs we saw last week but with spot pushing lower in Asia
they seem to have found a base for now. A break under 8600 should lift front end higher.
AUDUSD Vols have eased off Friday’s levels but have found support. Risk reversals have also eased
as spot moves towards 9200 levels. Front end should hold until after RBA and nonfarm.

Equities Daily stance Comment
DAX 0/+ Buy at the break of 5710 targeting 5755. S/L below 5686.
FTSE 0/+ Buy at the break 5287 targeting 5327. S/L below 5265.
S&P500 0/+ Buy at the break of 1096 targeting 1103. S/L below 1093.
NASDAQ10 0/+
0
DJIA 0/+

Commodities Daily Stance Comment
Gold 0/+ Buy on dips towards 1165 and target 1180. Stop below 1158.
Silver 0/- Sell at the break of 18.00 and target 17.75. Stop above 18.10.
Oil (CLF0) 0/+ Buy at the break of 76.70 and target 78.50. Stop below 75.75.

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

2

100
1,5

1
80

0,5

60
0

-0,5
40
21-jul 21-sep 21-nov 21-jan 21-mar 21-maj 21-jul 21-sep 21-nov
01-12-2008 01-02-2009 01-04-2009 01-06-2009 01-08-2009 01-10-2009
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.
CEE-German Govt. Bond Spreads CBOE SPX VOLATILITY INDEX
12 35

30
10

25
8

20

6
15

4
10

2 5

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

The VIX Index is now at 25.

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