Daily Trading Stance Monday, October 05, 2009

Theme Comment
Horrible labor market data on Friday: NFP dropped 263K. UR increased to 9.8%, avg. Weekly Hours decreased to 33.
Participation Rate dropped to 65.2% (-0.3%). In other words: If PR had been unchanged, UR would have been above
10%. Still no indication of stabilization of job losses.
Signs of risk-willingness in the FX market: EUR and AUD edging higher. USD and JPY lower. Also: High Yield being
picked up on Friday.
Watch out for the CRB index, which is close to breaking trendline support since March. That is a potential negative
today.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
EC 08:30 Sentix Investor Confidence (OCT) -11.8 -14.6
EC 09:00 Retail Sales MoM (AUG) -0.5% -0.2%
US 14:00 ISM Non-Manf. Composite (SEP) 50.0 48.4

FX Daily stance Comment

EURUSD 0/+ Strong rebound from 1.4480 suggests further upside. Suppt 1.4570-80, res 1.4650, then 1.4720.
USDJPY 0/- 89.90-00 looks crucial res. Abv targets 90.40-50, else we drift down to 89.25.
EURJPY 0/+ While holding abv 131.25, look for squeeze up to 131.80-90 within 130.75-132.0 broader range.
GBPUSD 0/- Seen capped at 1.6015-25 for a re-test of 1.5925. Abv sees 1.6050 then 1.6115.
AUDUSD 0/+ Buy break abv 0.8740-50 for target 0.8800-25 area. Suppt now moving up to 0.8690.

FX-Options Comment
EURUSD Front end will likely find support given the BOE/ECB rate decisions later this week.
Should filter through and support middle of the curve.
USDJPY Front end is softer this morning with spot closer to 90.00. 1mth is down from Friday’s
levels and 1 yr is unchanged leaving the curve slightly steeper.
AUDUSD Gamma still well bid today. Don’t see vols coming off anytime soon especially with plenty
of event risk this week.

Equities Daily stance Comment

DAX 0/- Sell on rallies towards 5484 targeting 5440. S/L above 5500.
FTSE 0/- Sell on rallies towards 5008 targeting 4976. S/L above 5018.
S&P500 0/- Sell on rallies towards 1030 targeting 1021. S/L above 1034.
Nasdaq100 0/-
Dow Jones 0/-

Commodities Daily Stance Comment

Gold 0/+ Buy at the break of 1008 and target 1018. Stop below 1004.
Silver 0/+ Buy on dips towards 16.20 and target 16.50. Stop below 16.05.
Oil (CLX9) 0 Neutral. Risk-reward not convincing.

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

-0,5 40
26-maj 26-jul 26-sep 26-nov 26-jan 26-mar 26-maj 26-jul 26-sep 06-10-2008 06-12-2008 06-02-2009 06-04-2009 06-06-2009 06-08-2009
US B re ake ve n 10 Ye ar 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 57.
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 okt-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 29.

1
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