Daily Trading Stance Tuesday, January 19, 2010

Theme Comment
China saw an increase in its one-year bill yield of 8bps for the second week in a row in an attempt to prevent possible
bubbles from forming. The financing cost is, in other words, being raised to drain liquidity from the system.
Investor confidence has been on the wane in Germany the last couple of months and we could see another drop in
confidence today. The German economy does not seem to be quite as robust as the Q3 GDP report indicated.
Watch out for earnings from the US today, we have several important company announcements, including IBM and
Citigroup.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
UK 09:30 CPI / RPI MoM (DEC) 0.3% / 0.3% 0.3% / 0.3%
GE 09:30 ZEW Survey (Econ. Sentiment) (JAN) 50.0 50.4
EC 10:00 ZEW Survey (Econ. Sentiment) (JAN) 48.0 48.0

FX Daily stance Comment

EURUSD 0/- Still prefer shorts to 1.4420 for a retracement back to 1.4350. Stop abv 1.4455
USDJPY 0/+ Buy dips to 90.25 for a re-test of 91.25, stop below 89.90
EURJPY 0 Consolidating lower. Suggested range 129.50 – 130.50
GBPUSD 0/+ Buy dips down to 1.6355 for a rebound back through 1.64 targeting 1.65. Stop below 1.63
AUDUSD 0/+ While holding abv 0.92 look to extend gains to 0.9325 res lvl. Below sees 0.9180, poss 0.9130

FX-Options Comment
EURUSD Vols largely unchanged with gamma continuing to be suppressed. Little flow info in the
market due to the US holidays. The range around 1.44 is likely to prevail.
USDJPY Front end is starting to see some decent buying interest and with spot threatening to
break under 9000, it is possible we get a scramble to cover short gamma on the downside.
AUDUSD Gamma is offered from the opening. First week of Feb sees a number of event risk with
RBA and nonfarm payrolls but everything else looks offered as spot languishes in range

Equities Daily stance Comment

DAX 0/- Sell on rallies towards 5930 and target 5900. Stop above 5942.
FTSE 0/- Sell on rallies towards 5500 and target 5467. Stop above 5518.
S&P500 0/- Sell on rallies towards 1140 and target 1132. Stop above 1143.
NASDAQ100 0/-
DJIA 0/-

Commodities Daily Stance Comment

Gold 0/- Sell uptick to 1,139-1,140 window for a re-test of 1,125, stop abv 1,147.
Silver 0/- Sell break below 18.70 for 18.45 target, stop abv 18.85.
Oil (CLG0) 0/- Sell into rallies to 78.75 for retracement back to 78.0. Stop abv 79.0.

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(GMT
13:00 Citigroup -0.282 -0.230
US Aft-Mkt
) CSX Corp. 0.758 0.740
US 21:15 IBM 3.472 2.400
 Daily Trading Stance

Top 100 Global Stocks CDS Index

#N/A Requesting Data... 140
3

2,5
120

100
1,5

1
80

0,5

60
0

-0,5
40
09-sep 09-nov 09-jan 09-mar 09-maj 09-jul 09-sep 09-nov 09-jan
20-01-2009 20-03-2009 20-05-2009 20-07-2009 20-09-2009 20-11-2009
#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 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
jun-08 sep-08 dec-08 mar-09 jun-09 sep-09 dec-09
01-08 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
jul-09 aug-09 sep-09 okt-09 nov-09 dec-09 jan-10
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 18.

1
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