Daily Trading Stance Wednesday, July 01, 2009

Theme Comment
The disappointing Conference Board Consumer Confidence (out at 49.3 vs. 55.3 expected) led to a strong sell-off in
stocks, but they came back somewhat late in the US session. Today’s figures are setting up for further
disappointment, since the expectations for the ADP Employment Change are way too rosy. Expect a figure around -
550K, which could lead to a test of 900 in the S&P500.
EURUSD still above 1.40, but look out for a break of trend line support around 1.3958 if figures disappoint (yes, we
know it should be USD negative, but markets don’t work like that these days, because it looks at the implications on a
global scale, which means that globally negative surprises are USD positive). Also look out for US ISM and Auto Sales
today.
Commodities are under renewed pressure and treasuries see some buying interest.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
US 12:15 ADP Employment Change (JUN) -395K -532K
US 14:00 ISM Manufacturing (JUN) 44.6 42.8
US 14:00 Pending Home Sales MoM (MAY) 0.0% 6.7%

FX Daily stance Comment

EURUSD - Risk of a deeper correction. Sell rallies to 1.4065-78 for sub-1.40 test, stop abv 1.4115.
EURJPY 0/- 135.0-136.0 a likely range. Slight preference to play from short side.
USDJPY 0/- Sell rallies above 97.0 for a retracement back to 96.10-20, stop above 97.55.
GBPUSD - Expect more weakness. Sell rallies to 1.65, stop abv 1.6540 for 1.6330 target.
AUDUSD 0/+ Expect a test of 0.8000 suppt but seen holding for rebound back through 0.81.

FX-Options Comment
EURUSD Tuesday’s trading again showed buyers of Thursday options indicating more uncertainty
can be expected on this Thursday’s NFP and ECB. Out to 1 month was more a mixture of both sellers
and buyers, but with slightly more buyers on EUR calls, which suggests spot to go higher.

Equities Daily stance Comment

DAX 0/- Sell at the break of 4800 and target 4720. Stop above 4840.
FTSE 0/- Sell at the break of 4214 targeting 4143. Stop above 4237.
S&P500 0/- Sell at the break of 912 targeting 895. Stop above 919.
Nasdaq100 0/- Sell at the break of 1466 targeting 1446. Stop above 1476.
Nikkei 0

Commodities Daily Stance Comment

Gold 0/- Sell at the break of 923 and target 913. Stop below 927.
Silver - Sell around 13.60 and target 13.35. Stop above 13.70.
Oil 0/- Sell on rallies towards 71.50 and target 69.50. Stop above 72.50.

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

-0,5
40
20-feb 20-apr 20-jun 20-aug 20-okt 20-dec 20-feb 20-apr 20-jun 02-07-2008 02-09-2008 02-11-2008 02-01-2009 02-03-2009 02-05-2009
US Breakeven 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 81.
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
nov-07 feb-08 maj-08 aug-08 nov-08 feb-09 maj-09
0
jun-07 aug-07 okt-07 dec-07 feb-08 apr-08 jun-08 aug-08 okt-08 dec-08 feb-09 apr-09 jun-09

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

12 60

10 50

8 40

6 30

20
4

10
2

0
0
dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09
sep-08 okt-08 nov-08 dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09
CBOE SPX VOLATILITY INDX
GDMA Hungarian - German Czech Republic - German Poland - German

The VIX Index is edging lower. Below 30 again.