S&P500 Cash Index

Trading Metrics calculated at close of trading on 30-Sep-2011

Technical Consensus

Composite multi-indicator directional consensus and volatility profile

STRONG SELL(-0.53)

Moving Averages

Strong Sell

-1.00

Oscillators

Sell

-0.22

Price Levels

Sell

-0.50

Trend

Sell

-0.50

Relative Volume (20d): —

ATR(14) %: 2.8%

20-Day Historical Volatility: 0.3%

Day Change Summary (OHLC)

	Previous	Current
Metric	29-Sep-2011	30-Sep-2011	Change	Change %	Previous Week
Open	1,158.69	1,159.93	1.24	0.1%	1,140.35
High	1,175.87	1,159.93	-15.94	-1.4%	1,195.86
Low	1,139.93	1,131.34	-8.59	-0.8%	1,131.07
Close	1,160.40	1,131.42	-28.98	-2.5%	1,131.42
Range	35.94	28.59	-7.35	-20.5%	64.79
ATR(14)	31.30	31.14	-0.16	-0.5%	31.14
Volume

Multi-Period Performance

1-Month (21d)

-7.2%

3-Month (63d)

-15.5%

6-Month (126d)

-15.1%

1-Year (252d)

-1.3%

Year-To-Date (YTD)

-11.0%

52-Week Range

52W Low: 1,101.54 (2.7%)

Position (11%)

52W High: 1,370.58 (17.4%)

Daily Pivots for day following 30-Sep-2011

Level	Classic	Woodie	Camarilla	DeMark
R4	1,226.67	1,207.63	1,147.14
R3	1,198.08	1,179.04	1,139.28
R2	1,169.49	1,169.49	1,136.66
R1	1,150.45	1,150.45	1,134.04	1,145.67
PP	1,140.90	1,140.90	1,140.90	1,138.51
S1	1,121.86	1,121.86	1,128.80	1,117.08
S2	1,112.31	1,112.31	1,126.18
S3	1,083.72	1,093.27	1,123.56
S4	1,055.13	1,064.68	1,115.70

Weekly Pivots for week ending 30-Sep-2011

Level	Classic	Woodie	Camarilla	DeMark
R4	1,347.15	1,304.08	1,167.05
R3	1,282.36	1,239.29	1,149.24
R2	1,217.57	1,217.57	1,143.30
R1	1,174.50	1,174.50	1,137.36	1,163.64
PP	1,152.78	1,152.78	1,152.78	1,147.36
S1	1,109.71	1,109.71	1,125.48	1,098.85
S2	1,087.99	1,087.99	1,119.54
S3	1,023.20	1,044.92	1,113.60
S4	958.41	980.13	1,095.79

Fisher Pivots for day following 30-Sep-2011

Pivot	1 Day	3 Day
R1	1,145.63	1,158.03
PP	1,140.90	1,149.16
S1	1,136.16	1,140.29

Fibonacci Retracements and Extensions

Single-day high/low extensions and retracements

Level	Price Level
4.250	1,281.44
2.618	1,234.78
1.618	1,206.19
1.000	1,188.52
0.618	1,177.60
HIGH	1,159.93
0.618	1,149.01
0.500	1,145.63
0.382	1,142.26
LOW	1,131.34
0.618	1,113.67
1.000	1,102.75
1.618	1,085.08
2.618	1,056.49
4.250	1,009.83

20-Day Swing Fibonacci Retracements

Swing Level	Price Level
23.6%	1,307.09
38.2%	1,267.81
50.0%	1,236.06
61.8%	1,204.31
78.6%	1,159.11

Moving Averages & Trend

Simple Moving Averages, Bollinger Bands, and Ichimoku Kinko Hyo

Period	SMA Value	Distance (Pts)	Distance (%)	Signal
5-Day SMA	1,156.24	-24.82	-2.1%	Below
10-Day SMA	1,162.01	-30.59	-2.6%	Below
20-Day SMA	1,172.35	-40.93	-3.5%	Below
50-Day SMA	1,196.51	-65.09	-5.4%	Below
100-Day SMA	1,253.98	-122.56	-9.8%	Below
200-Day SMA	1,280.12	-148.70	-11.6%	Below

Bollinger Bands (20, 2):

Upper: 1,221.94

Middle: 1,172.35

Lower: 1,122.76

Bandwidth: 8.5%

Ichimoku Kinko Hyo:

Tenkan-sen: 1,167.30

Kijun-sen: 1,172.47

Span A: 1,169.88

Span B: 1,224.27

Chikou Span: 1,177.60

Technical Oscillators & Momentum

Multi-indicator status across trend, momentum, and volume

RSI (14)

Neutral

40.95

Neutral 30–70

MACD (12, 26, 9)

Bearish Cross

-13.30

Signal: -10.89 · Hist: -2.41

Stochastic (14, 3)

Neutral

%K: 16.20

%D: 31.47

StochRSI (14)

Neutral

%K: 33.83

%D: 43.72

ADX (14) & Trend

Weakening

21.56

+DI: 22.80 · -DI: 34.09

CCI (20)

Neutral

-106.36

Range -100 to +100

Williams %R (14)

Neutral

-83.80

Range -100 to 0

Ultimate Oscillator

Neutral

43.22

Periods: 7, 14, 28

ROC (12)

Bearish

-4.82%

12-period Rate of Change

Elder Bull/Bear (13)

Neutral

-3.21

Bull: -3.21 · Bear: -31.80

Crabel Price Patterns

Pattern	Signal / Value
NR	True
NR4	True
NR5	True
NR7	False
WS	False
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	4.70
Narrowest range in 5 trading days

High/Low/Range Statistics

Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low
5	1,195.86	1,131.07	64.79	5.7%	32.90	2.9%	1%	False	False
10	1,220.37	1,114.22	106.15	9.4%	32.10	2.8%	16%	False	False
20	1,220.37	1,114.22	106.15	9.4%	29.97	2.6%	16%	False	False
40	1,230.71	1,101.54	129.17	11.4%	33.58	3.0%	23%	False	False
60	1,352.39	1,101.54	250.85	22.2%	29.42	2.6%	12%	False	False
80	1,356.48	1,101.54	254.94	22.5%	26.10	2.3%	12%	False	False
100	1,356.48	1,101.54	254.94	22.5%	23.83	2.1%	12%	False	False
120	1,370.58	1,101.54	269.04	23.8%	21.84	1.9%	11%	False	False

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