Daily Trading Stance Wednesday, March 17, 2010

Theme Comment
 FOMC more dovish than expected and not removing the “extended period” sentence. This is boosting especially risky
assets and leading to a lower USD again.
 Very strong turnaround in Oil yesterday, but beware that DOE inventories are out today.
 Macro data has deteriorated in the past month with several leading indices, housing starts, building permits and
inflation measures pointing slightly lower. This weakness is globally broad-based and is confirmed on a weekly data
for US data. Nonetheless, markets are risk-willing after having gotten the last low-rate fix from the Fed.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
UK 09:30 Claimant Count Rate / Claims Change (FEB) 5.0% / 1.2K 5.0% / 6.0K 5.0% / 23.5K
UK 09:30 BoE Minutes
US 12:30 PPI / Core PPI MoM (FEB) -0.4% / 0.0% -0.2% / 0.1% 1.4% / 0.3%

FX Daily stance Comment

EURUSD 0/+ Buy on dips towards 1.3790 and target 13860. Stop below 1.3755.
USDJPY 0 Neutral.
EURJPY 0/+ Buy at the break of 1.2524 and target 1.2600. Stop below 1.2500.
GBPUSD 0/+ Buy around 1.5250 and target 1.5320. Stop below 1.5220.
USDCAD 0/+ Buy on the break of 1.0156 and target 1.0220. Stop below 1.0130.

FX-Options Comment
EURUSD Vols a touch lower after FOMC, but apart from that not much changed. Frontend interests is still a
mixed bag with interests in both directions. Spot to continue its range, with a skew to the upside.
RR are unchanged.
GBPUSD Frontend vols offered after FOMC, but backend remains intact. Continue to see bids for atm and GBP
puts from mainly European based banks. RR unchanged here as well, but important to note that
they are trading at high levels and still bid.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5939 targeting 5968. S/L below 5925.
FTSE 0/+ Buy on dips towards 5595 targeting 5629. S/L below 5584.
S&P500 0/+ Buy on dips towards 1152 targeting 1158. S/L below 1149.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold + Buy on dips towards 1127 and target 1140. Stop below 1124.
Silver 0 Neutral.
Oil (CLJ0) 0/- Sell at the break of 81.70 and target 80.00. Stop above 82.40.

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
05-nov 05-jan 05-mar 05-maj 05-jul 05-sep 05-nov 05-jan 05-mar
18-03-2009 18-05-2009 18-07-2009 18-09-2009 18-11-2009 18-01-2010
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 49.
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 18.

1
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