Daily Trading Stance Wednesday, January 06, 2010

Theme Comment
Strong Factory Orders and Vehicle Sales in the US yesterday. Corporate Bonds Spreads and CDS prices still favoring
risk, although the USD went higher (new correlation regime). The EURCHF is continuing lower again despite the fact
that the Greece CDS price dropped 30 bps. yesterday.
ADP Employment Change and ISM Non-Manufacturing are key today. It would be a symbolic event if ISM NM comes
out above 50 (i.e. in expansion). Stocks would rally, but beware that the FOMC Minutes are released later today and
they might be somewhat downbeat.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
US 13:15 ADP Employment Change (DEC) -75K -169K
US 15:00 ISM Non-Manufacturing (DEC) 49.8 50.5 48.7
US 19:00 Minutes of FOMC Meeting (DEC. 15-16)

FX Daily stance Comment

EURUSD 0/- Look to sell rebound to 1.4380 for retracement back to 1.4300. Stop abv 1.4415.
USDJPY 0/+ Still buy dips while abv 91.40, targeting 92.15then 92.50. Stop below 91.10.
EURJPY 0/- While holding below 132.25 chance we retrace back to 131.40, poss 130.80.
GBPUSD 0/- Sell rallies abv 1.60 for a break below 1.5950 to target 1.59, poss 1.5880. Stop abv 1.6060.
AUDUSD 0/- While holding below recent high at 0.9175 look to sell, target 0.9090 then 0.9020. Stop abv 0.9210.

FX-Options Comment
EURUSD Vols seemed to have stabilized following the stronger dollar and the risk reversals
continue to get sold so unless spot manages to surprise, expect vols to ease.
USDJPY 1w and under still rather well supported given the amount of event risk this week but
further out, plenty of vega supply forces the curve lower.
AUDUSD Vols are lower this morning with noted selling interest in the middle of the curve. Saw
some interest in buying upside 9200 and beyond strikes for next week.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 6,005 and target 6,057. Stop below 5,982.
FTSE 0/+ Buy around 5,490 and target 5,535. Stop below 5,470.
S&P500 0/+ Buy on dips towards 1,132 and target 1,139. Stop below 1,129.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy dips to 1,120 for 1,132 target, poss 1,142. Stop below 1,115.
Silver 0/+ Prefer longs to target 18.0 then 18.15. Stop below 17.65.
Oil (CLG0) 0/+ 82.20-25 still as target while holding abv 81.0. Buy dips, stop below 80.80.

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 140
3

2,5
120

100
1,5

1
80

0,5

60
0

-0,5
40
27-aug 27-okt 27-dec 27-feb 27-apr 27-jun 27-aug 27-okt 27-dec
07-01-2009 07-03-2009 07-05-2009 07-07-2009 07-09-2009 07-11-2009
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 43.
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
maj-08 aug-08 nov-08 feb-09 maj-09 aug-09 nov-09
12-07 03-08 05-08 07-08 09-08 11-08 01-09 03-09 05-09 07-09 09-09 11-09 01-10

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.
CEE-German Govt. Bond Spreads CBOE SPX VOLATILITY INDEX
10 35

9
30
8

25
7

6 20

5
15
4

3 10

2
5
1
0
0
jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09
mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is now at 19.

1
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