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Daily Trading Stance Wednesday, June 24, 2009

Theme Comment
The Weekly ABC Consumer Confidence yesterday was out at -53. The lowest since the 9th of February and very close
to the all-time low of -54. Where are the green shoots?
Stocks went slightly higher yesterday, but S&P500 is still trading below the 50 and 200 DMA’s. Not even the high was
higher yesterday. The market should still fear the effect on system liquidity from the Treasury auctions this week. Sell
on rallies, but watch out for Durable Goods Orders today.
Eastern European CDS prices are continuing higher. Get short PLN and HUF vs. EUR.

Economic Data Releases


Country Time (GMT) Name Expectation Prior Comment
US 12:30 Durable Goods Orders (MAY) -0.9% 1.9%
US 14:00 New Home Sales MoM (MAY) 2.3% 0.3%
US 18:15 FOMC Rate Decision (JUN) 0.25% 0.25%

FX Daily stance Comment


EURUSD 0/+ The EUR staged a remarkable comeback, now ranging 1.4060 and 1.4100 throughout asia.
EURJPY 0/+ Approaching yesterday’s highs posted overnight. Buy stops above around 135.30
USDJPY 0/- Still under pressure, although 95.00 support seems to be rather decent. Topside capped around 95.55.
GBPUSD + Looking to buy break 1.6480 looking for upside momentum towards 1.6560. Stop at 1.6435 Offered.
AUDUSD 0/+ Ranging around 0.7950 area, supported around 0.7910 area and more bids at 0.7820.

FX-Options Comment
EURUSD: Vol curve paid heavily, with 1y up from 14,05% to 14,5%. Frontend, mkt still waiting for FOMC. Longer
FOMC. Longer
term, mkt term,
looking formkt
EURlooking for EUR
calls. Strong calls.that
signal Strong signalisthat
EURUSD EURUSD
going higher isand
going higher
a test andhigh
recent a test
at
recent
and
1.43ish high
a test at 1.43ish
recent
is likely high is
within at
fewlikely within
1.43ish
weeks. is1.50few
likely weeks.
iswithin
the few weeks.
target 1.50 is the target in 3-6 months.
in 3-6 months.

Equities Daily stance Comment


DAX 0/- Sell towards 4752 targeting 4669. S/L above 4780.
FTSE 0/- Sell towards 4266 targeting 4200. S/L above 4300.
S&P500 0/- Sell towards 900 targeting 888. S/L above 906.
Nasdaq100 0/- Sell towards 1429 targeting 1410. S/L above 1436.
Nikkei 0/-

Commodities Daily Stance Comment


Gold 0/+ Buy at the break of 927.50 and target 934. Stop below 923
Silver 0/+ Buy at the break of 14.03 and target 14.20. Stop below 13.95.
Oil 0/- Sell around 68.50 and target 66.66. Stop above 69.50.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(GM
T)
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
13-feb 13-apr 13-jun 13-aug 13-okt 13-dec 13-feb 13-apr 13-jun
25-06-2008 25-08-2008 25-10-2008 25-12-2008 25-02-2009 25-04-2009
US Breakeven 10 Year Saxo CDS Index

USD breakeven 10 Year – an expression for measuring inflation Credit Default Swaps are expressions for the perceived
expectations. default risk in a company. Now at 87.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

6
30

5
25

4
20
3
15
2
10
1

5
0
nov-07 feb-08 maj-08 aug-08 nov-08 feb-09 maj-09
0
jun-07 aug-07 okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-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 70

60
10

50
8

40

6
30

4
20

2 10

0
0
dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09
aug-08 sep-08 okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is edging higher. Above 30 again.