ECBOT 5 Year T-Note Future December 2011

Trading Metrics calculated at close of trading on 07-Dec-2011

Technical Consensus

Composite multi-indicator directional consensus and volatility profile

BUY(+0.33)

Moving Averages

Strong Buy

+1.00

Oscillators

Neutral

0.00

Price Levels

Buy

+0.50

Trend

Neutral

0.00

Relative Volume (20d): 0.04x

ATR(14) %: 0.3%

20-Day Historical Volatility: 0.0%

Day Change Summary (OHLC)

	Previous	Current
Metric	06-Dec-2011	07-Dec-2011	Change	Change %	Previous Week
Open	123-010	123-035	0-025	0.1%	122-312
High	123-052	123-135	0-083	0.2%	123-060
Low	122-315	123-007	0-012	0.0%	122-220
Close	123-027	123-125	0-098	0.2%	123-045
Range	0-057	0-128	0-071	124.6%	0-160
ATR(14)	0-113	0-114	0-001	1.0%	0-120
Volume	17,762	16,397	-1,365	-7.7%	2,444,358

Multi-Period Performance

1-Month (21d)

0.2%

3-Month (63d)

0.4%

6-Month (126d)

—

1-Year (252d)

—

Year-To-Date (YTD)

4.0%

52-Week Range

52W Low: 117-270 (4.7%)

Position (99%)

52W High: 123-135 (0.0%)

Daily Pivots for day following 07-Dec-2011

Level	Classic	Woodie	Camarilla	DeMark
R4	124-153	124-107	123-196
R3	124-025	123-299	123-160
R2	123-217	123-217	123-148
R1	123-171	123-171	123-137	123-194
PP	123-089	123-089	123-089	123-100
S1	123-043	123-043	123-113	123-066
S2	122-281	122-281	123-101
S3	122-153	122-235	123-090
S4	122-025	122-107	123-055

Weekly Pivots for week ending 02-Dec-2011

Level	Classic	Woodie	Camarilla	DeMark
R4	124-162	124-103	123-133
R3	124-002	123-263	123-089
R2	123-162	123-162	123-074
R1	123-103	123-103	123-060	123-132
PP	123-002	123-002	123-002	123-016
S1	122-263	122-263	123-030	122-292
S2	122-162	122-162	123-016
S3	122-002	122-103	123-001
S4	121-162	121-263	122-277

Fisher Pivots for day following 07-Dec-2011

Pivot	1 Day	3 Day
R1	123-107	123-101
PP	123-089	123-077
S1	123-071	123-053

Fibonacci Retracements and Extensions

Single-day high/low extensions and retracements

Level	Price Level
4.250	125-039
2.618	124-150
1.618	124-022
1.000	123-263
0.618	123-214
HIGH	123-135
0.618	123-086
0.500	123-071
0.382	123-056
LOW	123-007
0.618	122-248
1.000	122-199
1.618	122-120
2.618	121-312
4.250	121-103

20-Day Swing Fibonacci Retracements

Swing Level	Price Level
23.6%	122-034
38.2%	121-093
50.0%	120-203
61.8%	119-312
78.6%	119-012

Moving Averages & Trend

Simple Moving Averages, Bollinger Bands, and Ichimoku Kinko Hyo

Period	SMA Value	Distance (Pts)	Distance (%)	Signal
5-Day SMA	123-041	0-084	0.2%	Above
10-Day SMA	123-039	0-086	0.2%	Above
20-Day SMA	123-028	0-098	0.2%	Above
50-Day SMA	122-210	0-235	0.6%	Above
100-Day SMA	122-084	1-042	0.9%	Above
200-Day SMA	Insufficient data

Bollinger Bands (20, 2):

Upper: 123-110

Middle: 123-028

Lower: 122-265

Bandwidth: 0.4%

Ichimoku Kinko Hyo:

Tenkan-sen: 123-018

Kijun-sen: 123-016

Span A: 123-017

Span B: 122-118

Chikou Span: 122-195

Technical Oscillators & Momentum

Multi-indicator status across trend, momentum, and volume

RSI (14)

Neutral

60.29

Neutral 30–70

MACD (12, 26, 9)

Bearish Cross

0.13

Signal: 0.14 · Hist: -0.01

Stochastic (14, 3)

Neutral

%K: 95.74

%D: 75.08

StochRSI (14)

Neutral

%K: 59.27

%D: 44.87

ADX (14) & Trend

Neutral

14.61

+DI: 15.96 · -DI: 14.47

CCI (20)

Neutral

230.93

Range -100 to +100

Williams %R (14)

Neutral

-4.26

Range -100 to 0

Ultimate Oscillator

Neutral

69.23

Periods: 7, 14, 28

ROC (12)

Bullish

0.37%

12-period Rate of Change

Elder Bull/Bear (13)

Neutral

0.32

Bull: 0.32 · Bear: -0.08

Crabel Price Patterns

Pattern	Signal / Value
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	0-034
Widest range in 3 trading days

High/Low/Range Statistics

Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	123-135	122-220	0-235	0.6%	0-101	0.3%	96%	True	False	43,403
10	123-135	122-220	0-235	0.6%	0-107	0.3%	96%	True	False	366,393
20	123-135	122-220	0-235	0.6%	0-104	0.3%	96%	True	False	411,310
40	123-135	121-102	2-033	1.7%	0-125	0.3%	99%	True	False	484,814
60	123-135	121-102	2-033	1.7%	0-130	0.3%	99%	True	False	490,580
80	123-135	121-102	2-033	1.7%	0-132	0.3%	99%	True	False	450,837
100	123-135	119-020	4-115	3.5%	0-124	0.3%	99%	True	False	360,915
120	123-135	117-270	5-185	4.5%	0-103	0.3%	99%	True	False	300,762

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