Daily Trading Stance Tuesday, March 02, 2010

Theme Comment
 Stocks performed very well yesterday. We look for a slight retracement today given the lack of data and the large
gains yesterday. We sell on breaks in equities.
 ISM Manufacturing disappointed yesterday – though stocks hardly noticed. The forward-looking New Orders
component declined to 59.5 from 65.9, though that is still indicating a healthy expansion (i.e. above 50). Employment
continues to expand according to the ISM survey. Personal Income also came in lower than expected with a slight
increase of 0.1% (0.4% exp.) with spending increasing 0.5%.
 The Bank of Australia raised their target rate to 4% from 3.75% overnight - in line with consensus.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
EC 10:00 CPI YoY – Flash Estimate (FEB) 0.9% 1.0%
EC 10:00 PPI MoM / YoY (JAN) 0.4% / -1.2% 0.6% / -1.1% 0.1% / -2.9%
CA 14:00 Bank of Canada Rate 0.25% 0.25%

FX Daily stance Comment

EURUSD 0/+ Still prefer to buy dips to 1.3505 for a push back to 1.3625, poss 1.3680. Stop below 1.3467.
USDJPY 0/- Prefer to sell rallies to 89.40 for a retracement back to 88.80 lvl. Stop abv 89.75.
EURJPY 0 Further consolidation expected 120.50 -121.50.Lacking inspiration/direction.
GBPUSD 0/+ May find n/term suppt below 1.49. Buy dips, stop below 1.4860, for a test of 1.5020.
AUDUSD 0/+ Still prefer to buy dips to 0.8950, stop below 0.8910 for test of 0.9025.

FX-Options Comment
EURUSD Vols are higher and market continues to buy EUR puts with spot trading under 1.36.
Gamma likely to trade firmer as spot tries for 1.35 again.
GBPUSD Cable vols were paid up yesterday after the collapse in spot. This continued in Asia as 2m
got paid 14.3 dragging up the rest of the curve so likely to see further weakness in spot.
AUDUSD Vols started the day very bid ahead of the RBA but ends up just a few ticks lower after the
event. Market seems to be long downside gamma and would expect spot to drift lower.

Equities Daily stance Comment

DAX 0/- Sell at the break of 5699 targeting 5670. S/L above 5717.
FTSE 0/- Sell at the break of 5397 targeting 5353. S/L above 5421.
S&P500 0/- Sell at the break of 1114 targeting 1103. S/L above 1117.
NASDAQ100 0/-
DJIA 0/-

Commodities Daily Stance Comment

Gold 0 Look for further consolidation 1,110 -1,120 for now.
Silver 0 Expect to range-trade 16.30 -16.60.
Oil (CLJ0) 0/+ May find suppt at 78.50 with chance of rebound back to 79.10. Stop below 78.15.

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
21-okt 21-dec 21-feb 21-apr 21-jun 21-aug 21-okt 21-dec 21-feb
03-03-2009 03-05-2009 03-07-2009 03-09-2009 03-11-2009 03-01-2010
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.
PIIGS CDS 5 year CBOE SPX VOLATILITY INDEX
450 35

400
30

350
25
300

20
250

200 15

150
10

100
5
50

0
0
aug-09 sep-09 okt-09 nov-09 dec-09 jan-10 feb-10
jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09 jan-10 feb-10
CBOE SPX VOLATILITY INDX
Portugal Ireland Italy Greece Spain

The VIX Index is now at 19.

1
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