Daily Trading Stance Thursday, March 25, 2010

Theme Comment
 The EUR takes another dive as investors now also increasingly fear fiscal problems in Portugal (CDS @ 137 bps, up 20
pips in a week). Asian and commodities stocks are down and credit spreads and corporate CDS’s are getting nervous.
 A very weak US 5-year treasury auction yesterday with worth bid-to-cover since September and enormous tail
(difference between yield before and after auction). US 10-year yield up 16 bps. in one day. A massive move and
might indicate that investors are seeing widespread sovereign risks.
 We have a “sell-on-rallies” stance today as the market looks heavy and overbought.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
EC 09:00 Money Supply M3 YoY (FEB) -0.1% 0.1%
UK 09:30 Retail Sales ex Auto Fuel MoM (FEB) 0.2% 0.6% -1.2%
US 12:30 Initial / Continuing Jobless Claims 450K / 4,562K 457K / 4,579K

FX Daily stance Comment

EURUSD 0/- Look for further downside. Res 1.3350-70 area for test of 1.3240, poss 1.31.
USDJPY 0/+ Support moving up to 91.80-90 lvl. While it holds, rally can extend to 92.70.
EURJPY 0 Conflicting inputs. Likely trading 122.20-123.20.
GBPUSD 0 1.4860 target met. While holding abv, chance of rebound to 1.4930-40 else test of 1.48 beckons.
AUDUSD 0 Momentum waning below 0.91. Chance we remain 0.9050-0.9150.

FX-Options Comment
EURUSD Vols remain bid as spot now breaking under 1.33 and the risk reversals are also following
higher in favor of EUR puts. In the absence of a correction, vols will likely trade firm.
USDJPY Seeing few interest to buy upside and atm-ish vol this morning. Back end of the curve also
finds support and until we fall back into a range, vols should remain bid today.
AUDUSD Front end vols bid as spot looking for a retest of the lows. Risk reversal will continue to
trade firm and market still trying to buy low strikes or rollinglow strikes further out.

Equities Daily stance Comment

DAX 0/- Sell on rallies towards 6039 targeting 6005. S/L above 6045.
FTSE 0/- Sell on rallies towards 5690 targeting 5663. S/L above 5700.
S&P500 0/- Sell on rallies towards 1170 targeting 1166. S/L above 1172.
NASDAQ100 0/-
DJIA 0/-

Commodities Daily Stance Comment

Gold 0/- Sell on rallies towards 1095 and target 1086. Stop above 1099.
Silver 0/- Sell on rallies towards 16.75 and target 16.52. Stop above 16.85.
Oil (CLK0) 0/- Sell at the break of 80.20 and target 79.00. Stop above 80.55.

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
13-nov 13-jan 13-mar 13-maj 13-jul 13-sep 13-nov 13-jan 13-mar
26-03-2009 26-05-2009 26-07-2009 26-09-2009 26-11-2009 26-01-2010
#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 50.
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 18.

1
For more trading commentary on forex and equities go to www.tradingfloor.com or www.saxobank.com
General
These pages contain information about the services and products of Saxo Bank A/S (hereinafter referred to as “Saxo Bank”). The material is provided for informational purposes
only without regard to any particular user's investment objectives, financial situation, or means. Hence, no information contained herein is to be construed as a analysis; or an
offer to buy or sell; or the solicitation of an offer to buy or sell any security, financial product, or instrument; or to participate in any particular trading strategy in any jurisdiction in
which such an offer or solicitation, or trading strategy would be illegal. Saxo Bank does not guarantee the accuracy or completeness of any information or analysis supplied. Saxo
Bank shall not be liable to any customer or third person for the accuracy of the information or any market quotations supplied through this service to a customer, nor for any
delays, inaccuracies, errors, interruptions or omissions in the furnishing thereof, for any direct or consequential damages arising from or occasioned by said delays, inaccuracies,
errors, interruptions or omissions, or for any discontinuance of the service. Saxo Bank accepts no responsibility or liability for the contents of any other site, whether linked to this
site or not, or any consequences from your acting upon the contents of another site. Opening this website shall not render the user a customer of Saxo Bank nor shall Saxo Bank
owe such users any duties or responsibilities as a result thereof.

Analysis Disclosure & Disclaimer

Risk warning
Saxo Bank A/S shall not be responsible for any loss arising from any investment based on any analysis, forecast or other information herein contained. The contents of this
publication should not be construed as an express or implied promise, guarantee or implication by Saxo Bank that clients will profit from the strategies herein or that losses in
connection therewith can or will be limited. Trades in accordance with the analysiss in an analysis, especially leveraged investments such as foreign exchange trading and
investment in derivatives, can be very speculative and may result in losses as well as profits, in particular if the conditions mentioned in the analysis do not occur as anticipated.