Daily Trading Stance Thursday, February 18, 2010

Theme Comment
 Yesterday’s FOMC Minutes showed that the Federal Reserve has upped its estimate of 2009Q4 GDP based on an
upward revision in inventories. The Minutes also note the weak recovery in the housing market, and the FOMC does
not expect housing construction to make a notable impact on 2010-11 GDP. Overall, the Minutes were fairly hawkish.
 US producer prices will be released and we are roughly in line with consensus at 1.0% vs. 0.8%. Energy went higher in
January and should ensure solid MoM growth in prices.
 Other macro data of note today are the US Leading Indicators and the Philadelphia Fed Index, both at 15:00. We sell
at breaks in equities today.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
US 13:30 PPI / Core PPI MoM (JAN) 1.0% / 0.1% 0.8% / 0.1% 0.4% / 0.0%
US 13:30 Initial / Continuing Jobless Claims 438K / 4,500K 440K / 4,538K
EC 15:00 Consumer Confidence (FEB) -16 -16

FX Daily stance Comment

EURUSD 0/- Look to sell rallies to 1.3620-35 window for a re-test of 1.3530. Stop abv 1.3687.
USDJPY 0/- Sell break below 90.65 for a re-test of 89.85. Stop abv 91.15 .
EURJPY 0 While holding abv 123.0 expect to retrace back to 124.0 before lower. Below 123 targets 122.25.
GBPUSD 0/- Look to sell rallies twds 1.57,1.5720 max, for test of 1.56. Stop abv 1.5763.
AUDUSD 0 Look for consolidation 0.8930 – 0.9000. await next move.

FX-Options Comment
EURUSD Vols were bid in previous NY session and continues into Asia with the 1m quickly paid
to 11.65 as soon as spot dipped under 1.36.
USDJPY Vols got given in Asia again. Risk reversals are slower with spot around 91. Vega is the only
part of the curve that is holding up with 1y at 13.8 today
AUDUSD Options market started to get nervous and paid up some front end when spot dipped
towards 8950 levels. Risk reversals are bid once again so expect vols to find support.

Equities Daily stance Comment

DAX 0/- Large gap of 50 points yesterday, sell at the break of 5640 and target 5600. Stop above 5655.
FTSE 0/- Sell at the break of 5260 and target 5228. Stop above 5272.
S&P500 0/- Sell at the break of 1096 and target 1090. Stop above 1100.
NASDAQ100
DJIA

Commodities Daily Stance Comment

Gold 0/- Likely consolidating 1,098-1,108. Sell break below for 1,090. Stop abv 1,103.
Silver 0/- While holding abv 15.70 risk we rebound to 15.90. Sell break below for 15.58, stop abv 15.83.
Oil (CLH0) 0/- Consolidation 77.0-77.60. Sell break below for 76.20. stop abv 77.30.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(GMT
12:00 Wal-Mart Stores 1.122 0.840
US ) Dell 0.265 0.210
 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
09-okt 09-dec 09-feb 09-apr 09-jun 09-aug 09-okt 09-dec 09-feb
19-02-2009 19-04-2009 19-06-2009 19-08-2009 19-10-2009 19-12-2009
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 55.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

30 6

25 5

20 4

15 3

2
10

1
5

0
0
jul-08 okt-08 jan-09 apr-09 jul-09 okt-09 jan-10
02-08 04-08 06-08 08-08 10-08 12-08 02-09 04-09 06-09 08-09 10-09 12-09 02-10

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
8 35

7 30

6
25

5
20

4
15
3
10
2

5
1

0
0
aug-09 sep-09 okt-09 nov-09 dec-09 jan-10 feb-10
apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09 jan-10
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is now at 22.

1
For more trading commentary on forex and equities go to www.tradingfloor.com or www.saxobank.com
General
These pages contain information about the services and products of Saxo Bank A/S (hereinafter referred to as “Saxo Bank”). The material is provided for informational purposes
only without regard to any particular user's investment objectives, financial situation, or means. Hence, no information contained herein is to be construed as a analysis; or an
offer to buy or sell; or the solicitation of an offer to buy or sell any security, financial product, or instrument; or to participate in any particular trading strategy in any jurisdiction in
which such an offer or solicitation, or trading strategy would be illegal. Saxo Bank does not guarantee the accuracy or completeness of any information or analysis supplied. Saxo
Bank shall not be liable to any customer or third person for the accuracy of the information or any market quotations supplied through this service to a customer, nor for any
delays, inaccuracies, errors, interruptions or omissions in the furnishing thereof, for any direct or consequential damages arising from or occasioned by said delays, inaccuracies,
errors, interruptions or omissions, or for any discontinuance of the service. Saxo Bank accepts no responsibility or liability for the contents of any other site, whether linked to this
site or not, or any consequences from your acting upon the contents of another site. Opening this website shall not render the user a customer of Saxo Bank nor shall Saxo Bank
owe such users any duties or responsibilities as a result thereof.

Analysis Disclosure & Disclaimer

Risk warning
Saxo Bank A/S shall not be responsible for any loss arising from any investment based on any analysis, forecast or other information herein contained. The contents of this
publication should not be construed as an express or implied promise, guarantee or implication by Saxo Bank that clients will profit from the strategies herein or that losses in
connection therewith can or will be limited. Trades in accordance with the analysiss in an analysis, especially leveraged investments such as foreign exchange trading and
investment in derivatives, can be very speculative and may result in losses as well as profits, in particular if the conditions mentioned in the analysis do not occur as anticipated.