Daily Trading Stance Thursday, March 18, 2010

Theme Comment
 Germany poured some cold water on risk sentiment (risk indicators up overnight) with the remark that Greece should
go to the IMF instead of the EU. We are still bullish on stocks, however, and buy on dips.
 Initial Jobless Claims have been very sticky in recent months and so far do not point to positive Nonfarm Payrolls
(when Census hiring is subtracted). CPI is also out and is expected to be roughly flat month-on-month, confirming our
view that inflation is (and will remain for some time) a non-event in the US.
 China is conducting stress tests to estimate the outcome of a de-pegging of the renminbi from the US Dollar. Forward
contracts point to a 2.4% appreciation of the renminbi a year from now.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
US 12:30 CPI / Core CPI MoM (FEB) 0.1% / 0.0% 0.1% / 0.1% 0.2% / -0.1%
US 12:30 Initial / Continuing Jobless Claims 455K / 4522K 462K / 4558K
US 14:00 Philly Fed / Leading Indicators MoM (FEB) 18.0 / 0.1% 17.6 / 0.3%

FX Daily stance Comment

EURUSD 0/+ Buy on dips towards 1.3653 and target 1.3700. Stop below 1.3637.
USDJPY 0/+ Buy at the break of 90.40 and target 90.63. Stop below 90.28
EURJPY 0/+ Buy on dips towards 123.18 and target 123.69. Stop below 123.00.
GBPUSD 0/+ Buy on dips towards 1.5285 and target 1.5334. Stop below 1.5269.
AUDUSD 0/+ Buy on dips towards 0.9202 and target 0.9249. Stop below 0.9185.

FX-Options Comment
EURUSD Vols offered again yesterday with spot continuing its range. We believe this range will continue,
but expect vols to jump if we break 1.3600. But until that happens we still see it higher short term.
EURCHF Vols turned bid yesterday when spot broke 1.4500. Likely just as protection against SNB moves.
This should keep spot from dropping at same pace, but we still see it heading towards 1.40 longer
term.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5985 targeting 6022. S/L below 5965.
FTSE 0/+ Buy on dips towards 5623 targeting 5644. S/L below 5610.
S&P500 0/+ Buy on dips towards 1156 targeting 1162. S/L below 1153.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 1121 targeting 1129. S/L below 1117.
Silver 0/+ Buy at the break of 17.50 targeting 17.59. S/L below 17.45.
Oil (CLJ0) 0/+ Buy on dips towards 81.75 targeting 82.29. S/L below 81.47.

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 120
3

2.5

100
2

1.5

80

0.5
60

-0.5
40
06-nov 06-jan 06-mar 06-maj 06-jul 06-sep 06-nov 06-jan 06-mar
19-03-2009 19-05-2009 19-07-2009 19-09-2009 19-11-2009 19-01-2010
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 48.
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
03-08 05-08 07-08 09-08 11-08 01-09 03-09 05-09 07-09 09-09 11-09 01-10 03-10

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

The VIX Index is now at 17.

1
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