Daily Trading Stance Friday, September 18, 2009

Theme Comment
US housing starts climbed 1.5% to a seasonally adjusted annual rate of 598,000 in August from the previous month on an increase
in multifamily home construction, but single-family homes, which accounted for about 80% of all housing starts, fell 3% to
479,000.
The pace of layoffs slowed as initial claims for jobless benefits dropped by 12,000 to 545,000 in the week ended Sept. 12. This can
hardly be called positive, but it is the first time that claims have been under 550,000. The 4 week moving average went down to
563,000.
Both US numbers stresses the fragility of the US economy. Risk appetite seems still to be on - high yield bond market is still going
higher, the credit spread ml. US government and Moody’s BAA corporate bond is still contracting. It is still buy on dips in equity
markets.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
UK 08:30 M4 Money Supply MoM/YoY (AUG) 0.8%/13.8% 1.5%/14.5%
CA 12:30 Wholesale Sales MoM (JUL) 0.9% 0.6%

FX Daily stance Comment

EURUSD 0/- Risk of slide down to 1.4650, poss 1.4625. Sell rallies to 1.4750, stop abv 1.4810
USDJPY 0/- Still capped at 91.70-85 lvl. Prefer sell rallies for a re-test of 90.50
EURJPY 0 Likely ranging 133.70-134.70 with a risk of a deeper drop to 133.25
GBPUSD 0/- Still bearish targeting 1.6350, then 1.62. Sell rallies to 1.6450-65
AUDUSD 0/- Sell rallies to 0.8750 for a push through 0.87 targeting 0.8650, possibly 0.8625

FX-Options Comment
EURUSD Vols started bid yesterday but came off after the SNB. Some 1.48-1.50 strikes being asked
in the brokers so expect spot to push on higher.
USDCHF With spot above 91, gamma remains weak. The middle and back part of the curve are well
supported. Until spot break under 90, we will see pressure on front end vols.
AUDUSD 1 week Tokyo cut traded at 13% this morning which put some pressure on gamma. The
rest of the curve is also looking softer save for the few topside strike buyers.

Equities Daily stance Comment

DAX 0/+ Buy around 5710 targeting 5750. S/L below 5695.
FTSE 0/+ Buy around 5109 and target 5144. Stop below 5096.
S&P500 0/+ Buy around 1060 targeting 1068. S/L below 1057.
Nasdaq100 0/+ Buy around 1711 and target 1722. Stop below 1707
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0 Suppt at 1,008-1,010 area looks crucial for further sht-term gains. Res now 1,023
Silver 0 Risk of a deeper correction to 16.75 support. Res now at 17.30
Oil 0/- Risk of a dip below 72.0 lvl to target 71.20. Res firm at 72.70

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(G
MT)
 Daily Trading Stance

Top 100 Global Stocks CDS Index

#N/A Requesting Data... 140
3

2,5
120

100
1,5

1 80

0,5

60

-0,5 40
09-maj 09-jul 09-sep 09-nov 09-jan 09-mar 09-maj 09-jul 09-sep 19-09-2008 19-11-2008 19-01-2009 19-03-2009 19-05-2009 19-07-2009
# N/A R e q u esti n g Data... 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 56.
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
jan-08 apr-08 jul-08 okt-08 jan-09 apr-09 jul-09
0
sep-07 nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09
Moody BAA - U S G eneric G ovt 30 Year Yield Moody AAA - U S G eneric G ovt 30 Year Yield
EUR -USD OP T VOL 1 W EUR -USD OP T VOL 1 M EUR -USD OP T VOL 1 Y

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 60

10 50

8 40

6 30

20
4

10
2

0
0
mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09
C B OE SP X V OLA TILITY INDX

GDM A Hu ngari an -German C ze ch R e pub l ic -German P o l an d -German

The VIX Index is heading lower, now at 23.

1
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