Daily Trading Stance Monday, March 08, 2010

Theme Comment
 After the much better than expected figures on Friday, it’s hard to keep a short-term pessimistic bias. We have a
“buy-on-dips” stance today and expect the S&P500 to test the 1150 high within the next 48 hours. It also looks like
EURUSD is about to bounce towards the trendline resistance around 1.3820 in the same timespan.
 The only data worth mentioning today is the German Industrial Production.
 Sarkozy’s comments about Europe rescuing Greece might help to reduce Greek yields a bit further and could possibly
also contribute to additional EUR strength.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
EC 09:30 Sentix Investor Confidence (MAR) -8.8 -8.2
GE 11:00 Industrial Production MoM (JAN) 1.0% -2.6%
CA 13:15 Housing Starts (FEB) 190.0K 185.6K

FX Daily stance Comment

EURUSD 0/- Expect res at 1.3710-25 lvl to hold for retracement back to 1.3620, poss 1.3590. Stop abv 1.3743.
USDJPY 0/- Sell break below 90.20 for test of 89.35, stop abv 90.73.
EURJPY 0/- Capped at 123.90 for s/term retracement back to 122.50. Stop abv 124.43.
GBPUSD 0/- Expect rally to run out of steam near 1.52. Sell rallies for 1.5125, poss 1.5050. Stop abv 1.5265.
AUDUSD 0 May struggle past 0.9135 res lvl. Look for consolidation 0.9040 -0.9135.

FX-Options Comment
EURUSD Price action on Friday offered little for EUR vols. Front end moved lower after the numbers
but back end of the curve was actually bid.
USDJPY European bank rumoured to be buying a lot of short date upside strikes this morning. 1m
trade close to half a yard at 11.6% up from around 11.4 on Friday.
AUDUSD Front end has traded lower in Asia and most of the interbank interest has been looking to
buy downside strikes 9050 and below and keeps the risk reversals bid at these spot levels.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5880 targeting 5905. S/L below 5864.
FTSE 0/+ Buy on dips towards 5600 targeting 5625. S/L below 5585.
S&P500 0/+ Buy on dips towards 1137 targeting 1143. S/L below 1133.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 1133 and target 1142. Stop below 1130.
Silver 0/+ Buy on dips towards 17.37 and target 17.50. Stop below 17.30.
Oil (CLJ0) 0/+ Buy at the break of 82.10 and target 84. Stop below 81.75.

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
27-okt 27-dec 27-feb 27-apr 27-jun 27-aug 27-okt 27-dec 27-feb
09-03-2009 09-05-2009 09-07-2009 09-09-2009 09-11-2009 09-01-2010
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 50.
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 17.

1
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