Daily Trading Stance Thursday, February 25, 2010

Theme Comment
 More talk about Greece and potentially draconian measures to maintain system liquidity in the Greek banking system.
About a fourth of Greek bank deposits (8B EUR) have reportedly been flowing out of the country and the Greek stock
market more and more looks like a fire sale. The EUR is still suffering from the focus on Greece and the Club Med and
we expect it to continue today.
 We expect Bernanke’s dovish tone to continue in today’s ramblings, but the o/n market hasn’t been too impressed by
this and the market is more focused at the risk of domino sovereign defaults.
 We therefore have a “sell-on-rallies” stance on stocks today.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
GE 08:55 Unemployment Change / Rate (FEB) 16K / 8.2% 6K / 8.2%
US 13:30 Durable Goods / Ex Trans. MoM (JAN) 1.0% / 0.6% 1.5% / 1.0% 1.0% / 1.4%
US 13:30 Initial / Continuing Jobless Claims 460K / 4570K 473K / 4563K

FX Daily stance Comment

EURUSD 0/- Favour selling rallies to 1.35 for a push thru 1.3440 for 1.3385. Stop abv 1.3550.
USDJPY - Sell rallies to 89.90 for next push down to 88.70. Stop abv 90.35.
EURJPY - Sell any bounce to 121.0 for a test sub-120.0. Target 119.65, stop abv 121.65.
GBPUSD 0/- Seen capped at 1.5380. Sell rallies to 1.5365 for a test of 1.5280, stop abv 1.5425.
AUDUSD 0/- Look for further slippage down to 0.8850, poss 0.8780. Abv 0.8915 risks 0.8980 before lower.

FX-Options Comment
EURUSD Vols are higher and spot breaking lower in Asia. Market is clearly still nervous and this
will support the curve and the risk reversals as market continues to buy EUR puts.
USDJPY Curve is higher following the general ‘risk off’ sentiment. Risk reversals are starting to
pick up steam and any further move under 8950 will bring vols higher again.
AUDUSD Vols better bid in Asia and gamma should continue to see buyers. There remains interest
to buy downside strikes further out the curve so likely that the trend will gain momentum.

Equities Daily stance Comment

DAX 0/- Sell on rallies towards 5600 and target 5564. Stop above 5618.
FTSE 0/- Sell on rallies towards 5325 and target 5290. Stop above 5340.
S&P500 0/- Sell on rallies towards 1100 and target 1092. Stop above 1104.
NASDAQ100
DJIA

Commodities Daily Stance Comment

Gold 0/- Sell on rallies towards 1096 and target 1085. Stop above 1102.
Silver 0/- Sell on rallies towards 15.93 and target 15.73. Stop above 16.00.
Oil (CLJ0) 0/- Sell on rallies towards 80.50 and target 78.50. Stop above 80.90.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(GMT
)
 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
16-okt 16-dec 16-feb 16-apr 16-jun 16-aug 16-okt 16-dec 16-feb
26-02-2009 26-04-2009 26-06-2009 26-08-2009 26-10-2009 26-12-2009
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 52.
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 20.

1
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