Daily Trading Stance Monday, March 22, 2010

Theme Comment
The US House passed Obama’s Health Care bill yesterday and the USD strengthened. EURUSD stopped short of 1.35 – key level. US
treasuries dropping a tad, but nothing to speak of. The bill was priced-in.
Asian stocks are down on worries that monetary policy will be tightened to combat inflation. India raising rates for the first time in 2
years.
Not much data today, but we believe that the down-beat sentiment can spill over to the European session, but that should be used as
a buying opportunity.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
SZ 10:00 SNB Publishes Quarterly Bulletin
US 12:30 Chicago Fed Nat Activity Index 0.02
EC 15:00 E-Z Consumer Confidence (Mar A) -17 -17

FX Daily stance Comment

EURUSD 0/- Need a clear break of 1.35 for more downside. Sell rallies to 1.3550, stop abv 1.3595
USDJPY 0 Struggling to break out of 90.20 - 90.60 range. Await developments
EURJPY 0 Expect consolidation 121.80 – 122.60
GBPUSD 0/- May have seen temp bottom near 1.4930. Rrisk of bounce to 1.5035-45 but still prefer to sell rallies
AUDUSD 0/- Sell rallies to 0.9165-75 region for a test of 0.9100, stop abv 0.9205

FX-Options Comment
EURUSD Vols got paid on Friday and with spot now revisiting 1.35 in Asia we are likely to see vols
well supported into Europe especially front part of the curve.
USDJPY Yen vols sidelined today with Tokyo away on Holiday. Few overnight interest in the market
with strikes around 90.15-90.30 likely to keep spot steady here.
AUDUSD Spot still pretty much stuck in a range but we are actually seeing some buyers in the
brokers today given that front end vols are trading at very attractive low levels.

Equities Daily stance Comment

DAX 0/+ Buy at the break of 6005 targeting 6025. S/L below 5993.
FTSE 0/+ Buy at the break of 5658 targeting 5675. S/L below 5646.
S&P500 0/+ Buy at the break of 1157 targeting 1163. S/L below 1154.
NASDAQ100 0/+
DJIA 07+

Commodities Daily Stance Comment

Gold 0/– Sell on rallies towards 1115 and target 1102. Stop above 1120.
Silver 0/– Sell at the break of 16.90 and target 16.70. Stop above 17.02
Oil (CLK0) 0/– Sell at the break of 80.10 and target 78.40. Stop above 80.50.

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

Top 100 Global Stocks CDS Index

#N/A Requesting Data... 120
3

2,5

100
2

1,5

80

0,5
60

-0,5
40
10-nov 10-jan 10-mar 10-maj 10-jul 10-sep 10-nov 10-jan 10-mar
23-03-2009 23-05-2009 23-07-2009 23-09-2009 23-11-2009 23-01-2010
#N/A Requesting Data... 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

4
20

3
15

2
10

1
5

0
0
aug-08 nov-08 feb-09 maj-09 aug-09 nov-09 feb-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
sep-09 okt-09 nov-09 dec-09 jan-10 feb-10 mar-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 17.

1
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