S&P500 Future March 2007

Trading Metrics calculated at close of trading on 14-Nov-2006

Technical Consensus

Composite multi-indicator directional consensus and volatility profile

BUY(+0.42)

Moving Averages

Strong Buy

+1.00

Oscillators

Neutral

0.00

Price Levels

Buy

+0.50

Trend

Buy

+0.50

Relative Volume (20d): 0.69x

ATR(14) %: 0.7%

20-Day Historical Volatility: 0.1%

Day Change Summary (OHLC)

	Previous	Current
Metric	13-Nov-2006	14-Nov-2006	Change	Change %	Previous Week
Open	1,396.5	1,401.0	4.5	0.3%	1,392.5
High	1,403.0	1,410.3	7.3	0.5%	1,405.0
Low	1,394.6	1,395.3	0.7	0.1%	1,392.3
Close	1,399.8	1,409.6	9.8	0.7%	1,396.6
Range	8.4	15.0	6.6	78.6%	12.7
ATR(14)	8.9	9.4	0.4	4.8%	9.0
Volume	2,827	1,097	-1,730	-61.2%	12,754

Multi-Period Performance

1-Month (21d)

1.6%

3-Month (63d)

6.7%

6-Month (126d)

8.3%

1-Year (252d)

—

Year-To-Date (YTD)

5.2%

52-Week Range

52W Low: 1,253.3 (12.5%)

Position (100%)

52W High: 1,410.3 (0.0%)

Daily Pivots for day following 14-Nov-2006

Level	Classic	Woodie	Camarilla	DeMark
R4	1,450.1	1,444.8	1,417.9
R3	1,435.1	1,429.8	1,413.7
R2	1,420.1	1,420.1	1,412.4
R1	1,414.8	1,414.8	1,411.0	1,417.5
PP	1,405.1	1,405.1	1,405.1	1,406.4
S1	1,399.8	1,399.8	1,408.2	1,402.5
S2	1,390.1	1,390.1	1,406.9
S3	1,375.1	1,384.8	1,405.5
S4	1,360.1	1,369.8	1,401.4

Weekly Pivots for week ending 10-Nov-2006

Level	Classic	Woodie	Camarilla	DeMark
R4	1,436.1	1,429.0	1,403.6
R3	1,423.4	1,416.3	1,400.1
R2	1,410.7	1,410.7	1,398.9
R1	1,403.6	1,403.6	1,397.8	1,407.2
PP	1,398.0	1,398.0	1,398.0	1,399.7
S1	1,390.9	1,390.9	1,395.4	1,394.5
S2	1,385.3	1,385.3	1,394.3
S3	1,372.6	1,378.2	1,393.1
S4	1,359.9	1,365.5	1,389.6

Fisher Pivots for day following 14-Nov-2006

Pivot	1 Day	3 Day
R1	1,407.3	1,406.8
PP	1,405.1	1,404.1
S1	1,402.8	1,401.3

Fibonacci Retracements and Extensions

Single-day high/low extensions and retracements

Level	Price Level
4.250	1,474.1
2.618	1,449.6
1.618	1,434.6
1.000	1,425.3
0.618	1,419.6
HIGH	1,410.3
0.618	1,404.6
0.500	1,402.8
0.382	1,401.0
LOW	1,395.3
0.618	1,386.0
1.000	1,380.3
1.618	1,371.0
2.618	1,356.0
4.250	1,331.6

20-Day Swing Fibonacci Retracements

Swing Level	Price Level
23.6%	1,373.3
38.2%	1,350.3
50.0%	1,331.8
61.8%	1,313.3
78.6%	1,286.9

Moving Averages & Trend

Simple Moving Averages, Bollinger Bands, and Ichimoku Kinko Hyo

Period	SMA Value	Distance (Pts)	Distance (%)	Signal
5-Day SMA	1,401.1	8.5	0.6%	Above
10-Day SMA	1,394.9	14.7	1.1%	Above
20-Day SMA	1,394.4	15.2	1.1%	Above
50-Day SMA	1,369.9	39.7	2.9%	Above
100-Day SMA	1,336.1	73.5	5.5%	Above
200-Day SMA	1,329.4	80.2	6.0%	Above

Bollinger Bands (20, 2):

Upper: 1,410.1

Middle: 1,394.4

Lower: 1,378.7

Bandwidth: 2.3%

Ichimoku Kinko Hyo:

Tenkan-sen: 1,393.9

Kijun-sen: 1,386.7

Span A: 1,390.3

Span B: 1,363.6

Chikou Span: 1,370.5

Technical Oscillators & Momentum

Multi-indicator status across trend, momentum, and volume

RSI (14)

Neutral

67.37

Neutral 30–70

MACD (12, 26, 9)

Bearish Cross

8.67

Signal: 9.07 · Hist: -0.40

Stochastic (14, 3)

Neutral

%K: 97.87

%D: 79.40

StochRSI (14)

Neutral

%K: 40.25

%D: 36.03

ADX (14) & Trend

Strong Trend

28.17

+DI: 34.13 · -DI: 14.18

CCI (20)

Neutral

133.74

Range -100 to +100

Williams %R (14)

Neutral

-2.13

Range -100 to 0

Ultimate Oscillator

Neutral

68.90

Periods: 7, 14, 28

ROC (12)

Bullish

0.93%

12-period Rate of Change

Elder Bull/Bear (13)

Neutral

13.89

Bull: 13.89 · Bear: -1.11

Crabel Price Patterns

Pattern	Signal / Value
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	True
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	2.0
Widest range in 29 trading days

High/Low/Range Statistics

Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,410.3	1,392.3	18.0	1.3%	10.1	0.7%	96%	True	False	2,648
10	1,410.3	1,377.5	32.8	2.3%	9.3	0.7%	98%	True	False	2,387
20	1,410.3	1,377.5	32.8	2.3%	8.5	0.6%	98%	True	False	1,581
40	1,410.3	1,332.0	78.3	5.6%	7.8	0.6%	99%	True	False	934
60	1,410.3	1,316.9	93.4	6.6%	5.7	0.4%	99%	True	False	655
80	1,410.3	1,287.7	122.6	8.7%	4.3	0.3%	99%	True	False	506
100	1,410.3	1,262.2	148.1	10.5%	3.7	0.3%	100%	True	False	407
120	1,410.3	1,253.3	157.0	11.1%	3.3	0.2%	100%	True	False	342

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