Daily Trading Stance Friday, November 27, 2009

Theme Comment
Unwinding in thin markets yesterday due to the Dubai story. Our take: Dubai is too small a financial player (Dubai
World has $59B in liabilities) to cause a market turnaround for now. The story is having an impact, because markets
are thin over Thanksgiving, but it doesn’t make any sense that this should serve as a trigger for a real turnaround. We
will probably see more downside today.
Important trendline supports, which will probably be tested today, could be good entry levels for longs: 1063 in the
S&P500 Future, 5500 in DAX, 1.4813 in EURUSD, 1166 in Gold (already tested).

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 10:00 Consumer Confidence (NOV) -17 -18
EC 10:00 Economic Confidence (NOV) 88.0 86.2
EC 10:00 Industry Confidence (NOV) -19 -21

FX Daily stance Comment

EURUSD 0 Buy on dips towards 1.48 with a target at 1.49. Stop below 1.4790.
USDJPY 0 Neutral. Stay out. Too spiky.
EURJPY 0/- Sell at the break of 126.92 and target 126. Stop above 127.
GBPUSD 0/- Sell on rallies towards 1.6450 and target 1.6380. Stop above 1.65.
EURGBP 0/+ Buy at the break of 0.9130 and target 0.92. Stop below 0.91.

FX-Options Comment
EURUSD Vols higher with few interests looking to buy mid curve strikes and the gamma is also
well supported over FOMC dates. With spot lower, we can expect vols to hold firm.
USDJPY Spot breaks under 8500 and takes out barriers. The following scramble for gamma takes
1wk Tokyo cut to 17.5% and entire curve is bid along with risk reversals.
AUDUSD Vols are better bid this session with the move in spot. Curve is now much higher than the
start of the week. Short date will be well supported over the RBA and nonfarm next week.

Equities Daily stance Comment

DAX 0/+ Buy around 5500 targeting 5553. S/L below 5489.
FTSE 0/+ Buy around 5082 targeting 5140. S/L below 5068.
S&P500 0/+ Buy around 1065 targeting 1074. S/L below 1060.
NASDAQ10 0/+
0
DJIA 0/+

Commodities Daily Stance Comment

Gold - Don’t buy the dips yet. If unwinding is continuing, it could test 1131.
Silver 0/- Sell on rallies towards 18.35 and target 18.10. Stop above 18.50.
Oil (CLF0) 0/- Sell on rallies towards 75 and target 73. Stop above 76.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(G
MT)
 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
18-jul 18-sep 18-nov 18-jan 18-mar 18-maj 18-jul 18-sep 18-nov
28-11-2008 28-01-2009 28-03-2009 28-05-2009 28-07-2009 28-09-2009
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 56.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

30 6

25 5

20 4

15 3

10 2

5 1

0 0
apr-08 jul-08 okt-08 jan-09 apr-09 jul-09 okt-09
nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09 nov-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 40

35
10

30

8
25

6 20

15
4
10

2 5

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

The VIX Index is edging lower, now at 20.

1
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