Daily Trading Stance Friday, January 15, 2010

Theme Comment
Retail Sales were roughly in line with consensus yesterday when you adjust for revisions to November. Business Inventories
meanwhile came in just 0.1%-point below our estimate (adjusted for revisions) and points to a strong contribution from
inventories in Q4 GDP.
Plenty of macro data today with CPI (13:30) and Industrial Production (14.15) from the US among the most important ones (we
are in line with consensus).
Intel reported earnings yesterday and beat the watered-down expectations. The gross margins are good and revenues increased
13% QoQ. However, the company is surprisingly bearish on Q1 results.
We remain bullish on risk and buy on dips in stocks today.

Economic Data Releases

Country Time (GMT) Name Saxo Consensus Prior
EZ 10:00 E-Z CPI MoM/YoY 0.3%/0.9% 0.3%/0.9% 0.1%/0.5%
US 13:30 CPI MoM/YoY 0.2%/2.8% 0.2%/2.8% 0.4%/1.8%
US 14:15 Industrial Production/Capacity Utilization 0.5%/71.6% 0.6%/71.8% 0.8%/71.3%

FX Daily stance Comment

EURUSD 0/- Rebound seen limited to 1.4450-60 window. Sell there for 1.4385, stop abv 1.4515
USDJPY 0/+ Look to buy dips to 90.80-90 area for rebound back to 91.35, poss 91.55. Stop below 90.50
EURJPY 0/+ Buy dips to 131.25 for rebound to 132.35. Stop below 130.80
GBPUSD 0/+ Buy dips to 1.63 for another test of 1.6375. Stop below 1.6265
AUDUSD 0 Consolidation below 0.9325 res. N/t suppt 0.9265, 0.9230 behind. Break abv res sees 0.94

FX-Options Comment
EURUSD Backend vols started off being offered but found support after the ECB event – flattening
out the curve. Gamma in general remains soft.
USDJPY Curve is lower across and seeing some buying interest in 2-3m upside low delta strikes.
Riskies are holding steady and recent strikes traded seem to suggest a range around 9100.
AUDUSD Vols continue lower even as spot drops to 9260 lows. Market is still looking to get rid of
gamma and with the long weekend in the US, front end should remain depressed.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5990 targeting 6018. S/L below 5974.
FTSE 0/+ Buy on dips towards 5495 targeting 5520. S/L below 5480.
S&P500 0/+ Buy on dips towards 1143 targeting 1149. S/L below 1142.
NASDAQ100 0/+
DJIA 0/+

Commodities Daily Stance Comment

Gold 0/- Sell break below 1,135 for a test of 1,125 again. Stop abv 1,140
Silver 0/- Sell break below 18.50 for 18.30 target, stop abv 18.70
Oil (CLG0) 0/- Sell rallies to 79.50, still targeting 77.45 eventually. Stop abv 80.15

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
US (G(GMT)(GMT
12:00 JPMorgan 0.602 0.820
)
 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
05-sep 05-nov 05-jan 05-mar 05-maj 05-jul 05-sep 05-nov 05-jan
16-01-2009 16-03-2009 16-05-2009 16-07-2009 16-09-2009 16-11-2009
#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

4
20

3
15

2
10

1
5

0
0
maj-08 aug-08 nov-08 feb-09 maj-09 aug-09 nov-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
jun-09 jul-09 aug-09 sep-09 okt-09 nov-09 dec-09
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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