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Daily Trading Stance Wednesday, May 27, 2009

Theme Comment
US Case/Shiller Home Prices show no signs of stabilization. National home prices declined at an 18.7% annualized
pace, the fastest ever.
Stocks rallied nonetheless on the much better than expected Consumer Confidence from the Conference Board,
which showed the biggest gain since 2003. The Richmond Fed Index was also better than expected and corporate CDS
prices and the VIX were continuing to slide lower.
We maintain that the S&P500 will be a “buy-on-dips” until we see a test of the 200 DMA, currently around 931.
Eastern European Sovereign CDS prices crept higher – beware of a break higher in the EUR vs. PLN, HUF and CZK.

Economic Data Releases


Country Time (GMT) Name Expectation Prior Comment
GE Consumer Price Index YoY 0.2% 0.7%
US 14:00 FHFA House Price Index MoM (MAR) 0.2% 0.7%
US 14:00 Existing Home Sales MoM (APR) 2.0% -3.0%

FX Daily stance Comment


EURUSD 0/+ 1.4050 looks key to further gains. Buy break or buy dip to 1.3910-15 for 1.4160
EURJPY 0 Near-term res at 133.50. Seen ranging 132.50-133.50
USDJPY - Look to sell rallies up to 95.50-60 res with a stop abv 96.25, target 93.0 lvls
GBPUSD 0/+ Look to buy dips to 1.5890-00 for a challenge on 1.5990 then 1.6050
AUDUSD 0/+ Buy dips to 0.7840 for a test of new 2009 highs at 0.7930. Stop below 0.7750

FX-Options Comment
EURUSD Vols corrected a bit lower after last week’s jump, but main interests still looking for EUR
calls. Could see some range trading around 1.39/1.40 levels before breaking higher.
USDJPY Risk reversals have eased as spot moved back above 9500. Gamma comes back offered
as spot ticks higher. 9500 strikes for Tokyo cut would likely attract spot.
AUDUSD Front end remains weak while 1m-6m area have found bids after spot moved to new highs
above 7800. 2m-3m upside (8000-8200 area) seen some buying interests.

Equities Daily stance Comment


DAX 0/+ Buy on dips towards 4948 and target 5000. Stop below 4920.
FTSE + Buy around 4410 and target 4500. Stop below 4380.
S&P500 + Buy around 910 and target 923. Stop below 900.
Nasdaq100 0/+ Buy on dips towards 1400 and target 1422. Stop below 1390.
Nikkei 0/+ Buy at the break of 9500 and target 9600. Stop below 9450.

Commodities Daily Stance Comment


Gold 0/+ Buy on dips towards 942 and target 953. Stop below 935.50.
Silver 0/+ Buy on dips towards 14.40 and target 14.60. Stop below 14.30.
Oil 0 Neutral. Risk-reward unconvincing. Beware of inventory figures today.

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

US Breakeven 10 Year 140


Top 100 Global Stocks CDS Index
3

2,5
120

100
1,5

1
80

0,5

60
0

-0,5 40
16-jan 16-mar 16-maj 16-jul 16-sep 16-nov 16-jan 16-mar 16-maj 28-05-2008 28-07-2008 28-09-2008 28-11-2008 28-01-2009 28-03-2009

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 96.
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
0 okt-07 jan-08 apr-08 jul-08 okt-08 jan-09 apr-09
maj-07 jul-07 sep-07 nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-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 90

80
10
70

8 60

50
6
40

4 30

20
2
10

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

Some optimism after the G20 meeting. Especially for Hungary. The VIX Index is edging lower. Now below 40.