Daily Trading Stance Thursday, October 08, 2009

Theme Comment
Alcoa report better than expected on cost-cutting but shipments fell. The company’s guidance was moderately
positive. Stocks rallied on the news in the aftermarket.
The AUD is higher (again) on very positively surprising labor market data this morning. US Consumer Credit dropped -
$12B vs. -$10B expected. In other words the consumer continues to deleverage despite the CFC stimulus.
Gold is making new all-time highs, trading @ 1052 and the USD TWI is about to make 13 month lows. Watch 1.4844 in
EURUSD. A break higher should lead gold higher as well.
We maintain a short-term “buy-on-dips” stance for stocks into the earnings season and target 1121 in S&P500 –
probably to be reached at the end of October to mid-November.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
UK 11:00 BoE Announce Rates 0.50% 0.50%
EC 11:45 ECB Announces Rates 1.00% 1.00% Trichet speaks at 12:30.
US 12:30 Initial / Cont. Jobless Claims 540K / 6105K 551K / 6090K

FX Daily stance Comment

EURUSD + Likely to test 1.4844 or even break today. Buy on dips towards 1.4740 and target 1.4840. Stop below 1.4700.
USDJPY 0/- Sell at the break of 88 and target 87.30. Stop above 88.30.
EURJPY 0 Neutral.
GBPUSD 0 Neutral.
AUDUSD + Buy on dips towards 0.8870 and target 0.9050. Stop below 0.8840.

FX-Options Comment
EURUSD Mostly one way buying in 3mth 35 delta EUR puts followed by 2mth 1.41s in the brokers.
Gamma likely to come under pressure after the ECB and as the weekend draws.
USDJPY Curve got paid along with the risk reversals today as spot pushes intraday lows.
As spot approaches the last support area at 8700, we do not expect vols to come off soon.
AUDUSD Upside continues to be bid in the market as spot powers higher after much better than
expected employment numbers. Gamma should ease if spot falls back towards 8900.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5674 targeting 5717. S/L below 5655.
FTSE 0/+ Buy on dips towards 5145 targeting 5175. S/L below 5130.
S&P500 0/+ Buy on dips towards 1055 targeting 1065. S/L below 1050.
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 1045 and target 1055. Stop below 1040.
Silver 0/+ Buy on dips towards 17.65 and target 18. Stop below 17.45.
Oil (CLX9) 0/+ Buy around 70 and target 71.80. Stop below 69.

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
29-maj 29-jul 29-sep 29-nov 29-jan 29-mar 29-maj 29-jul 29-sep 09-10-2008 09-12-2008 09-02-2009 09-04-2009 09-06-2009 09-08-2009
US Br eakeven 10 Year 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 56.
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 eri c Go vt 3 0 Ye ar Yi e l d M o o d y A A A - US Ge n eri c Go vt 3 0 Ye ar Yi e l d
EUR- USD OPT VOL 1W EUR- USD OPT VOL 1M EUR- USD OPT VOL 1Y

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
CBOE SPX VOLATI LI TY I NDX

GDM AHungar ian - Ger m an Cz echRepublic - Ger m an Poland - Ger m an

The VIX Index is now at 25.

1
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