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Daily Trading Stance Friday, October 02, 2009

Theme Comment
Stocks dropped yesterday after a huge drop in Auto sales (after the end of the CFC). Domestic Vehicle Sales were
down by a third since Aug.
The market is jittery ahead of today’s NFP and Unemployment Rate. EUR is under pressure due to the Irish
referendum today.
Trendline support in S&P500 today is 1013. It looks like that level could be tested today. The HY universe saw the
biggest one-day drop since March and treasuries are making new highs. Commodities are all lower, indicating more
risk-aversion. Stand by for an ugly weekly close.

Economic Data Releases


Country Time (GMT) Name Expectation Prior Comment
EC 09:00 E-Z PPI YoY (AUG) -7.6% -8.5%
US 12:30 Unemployment Rate (SEP) 9.8% 9.7% We expect 9.8%.
US 12:30 Change in Nonfarm Payrolls (SEP) -175K -216K We expect -245K

FX Daily stance Comment


EURUSD 0/- While holding below 1.4575, expect weakness to the 1.4440-50 lvl. Stop abv 1.4610
USDJPY 0/- Res at 89.65-80 seen holding for further slippage to 89.0, then 88.25 again
EURJPY 0/- Res now firm at 130.60. Strong suppt at 129.50-60 initially, but risks breaking for 127.0
GBPUSD 0/- Prefer to sell rallies to 1.5940-50 for a push through 1.59, targeting 1.5830-40. Stop abv 1.5990
AUDUSD 0/- Likely capped at 0.8720 for a push below 0.8675 for 0.8630 target, stop abv 0.8750

FX-Options Comment
EURUSD Market slightly better bid for downside after the spot move yesterday. 1 mth riskies
traded 0.2 favouring EUR puts and talk of Goldman having bought 3-6m 1.36 area strikes.
USDJPY Front end all bid with risk reversals following as USD puts are being bid. Rest of the curve
should remain well supported through this level as equities and spot remain weak.
AUDUSD 1mth is paid up quickly from 14.7 yesterday in NY to 15.3% in early Sydney. Front end
all well bid with nonfarm and RBA over next few sessions.

Equities Daily stance Comment


DAX 0/+ Buy on dips towards 5516 targeting 5560. S/L below 5495.
FTSE 0/+ Buy on dips towards 5009 targeting 5050. S/L below 4990.
S&P500 0/+ Buy on dips towards 1013 targeting 1032. S/L below 1010.
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment


Gold 0/+ Buy on dips towards 995 and target 1006. Stop below 990. Close if EURUSD breaks below 1.4455.
Silver 0 Neutral.
Oil (CLX9) 0/- Sell around 70 and target 67.50. Stop above 71.50.

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
23-maj 23-jul 23-sep 23-nov 23-jan 23-mar 23-maj 23-jul 23-sep 03-10-2008 03-12-2008 03-02-2009 03-04-2009 03-06-2009 03-08-2009
# N/A R e qu esti ng 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 54.
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
feb-08 maj-08 aug-08 nov-08 feb-09 maj-09 aug-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
M o o d y B A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d M o o d y A A A - US Ge n e ri c Go vt 3 0 Ye ar Yi e l d
EUR -USD OP T VOL1 W EUR -USD OP T VOL1 M EUR -USD OP T VOL1 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 50

45
10
40

35
8
30

6 25

20

4 15

10
2
5

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

GDM A Hungar ian - Ger m an CzechRepublic - Ger m an Poland - Ger m an

The VIX Index is now at 26.

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