S&P500 Cash Index

Trading Metrics calculated at close of trading on 20-Oct-2011

Technical Consensus

Composite multi-indicator directional consensus and volatility profile

NEUTRAL(-0.05)

Moving Averages

Buy

+0.33

Oscillators

Sell

-0.33

Price Levels

Neutral

0.00

Trend

Neutral

0.00

Relative Volume (20d): —

ATR(14) %: 2.4%

20-Day Historical Volatility: 0.3%

Day Change Summary (OHLC)

	Previous	Current
Metric	19-Oct-2011	20-Oct-2011	Change	Change %	Previous Week
Open	1,223.46	1,211.10	-12.36	-1.0%	1,158.15
High	1,229.64	1,219.53	-10.11	-0.8%	1,224.61
Low	1,206.31	1,197.34	-8.97	-0.7%	1,158.15
Close	1,209.88	1,215.39	5.51	0.5%	1,224.58
Range	23.33	22.19	-1.14	-4.9%	66.46
ATR(14)	29.19	28.69	-0.50	-1.7%	28.93
Volume

Multi-Period Performance

1-Month (21d)

4.2%

3-Month (63d)

-9.6%

6-Month (126d)

-9.1%

1-Year (252d)

3.0%

Year-To-Date (YTD)

-4.4%

52-Week Range

52W Low: 1,074.77 (13.1%)

Position (48%)

52W High: 1,370.58 (11.3%)

Daily Pivots for day following 20-Oct-2011

Level	Classic	Woodie	Camarilla	DeMark
R4	1,277.32	1,268.55	1,227.59
R3	1,255.13	1,246.36	1,221.49
R2	1,232.94	1,232.94	1,219.46
R1	1,224.17	1,224.17	1,217.42	1,228.56
PP	1,210.75	1,210.75	1,210.75	1,212.95
S1	1,201.98	1,201.98	1,213.36	1,206.37
S2	1,188.56	1,188.56	1,211.32
S3	1,166.37	1,179.79	1,209.29
S4	1,144.18	1,157.60	1,203.19

Weekly Pivots for week ending 14-Oct-2011

Level	Classic	Woodie	Camarilla	DeMark
R4	1,401.83	1,379.66	1,261.13
R3	1,335.37	1,313.20	1,242.86
R2	1,268.91	1,268.91	1,236.76
R1	1,246.74	1,246.74	1,230.67	1,257.82
PP	1,202.45	1,202.45	1,202.45	1,207.99
S1	1,180.28	1,180.28	1,218.49	1,191.37
S2	1,135.99	1,135.99	1,212.40
S3	1,069.53	1,113.82	1,206.30
S4	1,003.07	1,047.36	1,188.03

Fisher Pivots for day following 20-Oct-2011

Pivot	1 Day	3 Day
R1	1,213.07	1,214.36
PP	1,210.75	1,213.32
S1	1,208.43	1,212.29

Fibonacci Retracements and Extensions

Single-day high/low extensions and retracements

Level	Price Level
4.250	1,313.84
2.618	1,277.62
1.618	1,255.43
1.000	1,241.72
0.618	1,233.24
HIGH	1,219.53
0.618	1,211.05
0.500	1,208.43
0.382	1,205.82
LOW	1,197.34
0.618	1,183.63
1.000	1,175.15
1.618	1,161.44
2.618	1,139.25
4.250	1,103.03

20-Day Swing Fibonacci Retracements

Swing Level	Price Level
23.6%	1,300.77
38.2%	1,257.58
50.0%	1,222.67
61.8%	1,187.77
78.6%	1,138.07

Moving Averages & Trend

Simple Moving Averages, Bollinger Bands, and Ichimoku Kinko Hyo

Period	SMA Value	Distance (Pts)	Distance (%)	Signal
5-Day SMA	1,215.22	0.17	0.0%	Above
10-Day SMA	1,203.29	12.10	1.0%	Above
20-Day SMA	1,174.14	41.25	3.5%	Above
50-Day SMA	1,177.30	38.09	3.2%	Above
100-Day SMA	1,233.03	-17.64	-1.4%	Below
200-Day SMA	1,274.88	-59.49	-4.7%	Below

Bollinger Bands (20, 2):

Upper: 1,245.25

Middle: 1,174.14

Lower: 1,103.02

Bandwidth: 12.1%

Ichimoku Kinko Hyo:

Tenkan-sen: 1,195.63

Kijun-sen: 1,153.93

Span A: 1,174.78

Span B: 1,153.93

Chikou Span: 1,188.68

Technical Oscillators & Momentum

Multi-indicator status across trend, momentum, and volume

RSI (14)

Neutral

56.19

Neutral 30–70

MACD (12, 26, 9)

Bullish Cross

10.86

Signal: 3.72 · Hist: 7.14

Stochastic (14, 3)

Bearish

%K: 88.81

%D: 89.76

StochRSI (14)

Bearish

%K: 86.24

%D: 86.85

ADX (14) & Trend

Neutral

15.04

+DI: 26.39 · -DI: 23.27

CCI (20)

Neutral

82.98

Range -100 to +100

Williams %R (14)

Neutral

-11.19

Range -100 to 0

Ultimate Oscillator

Neutral

60.43

Periods: 7, 14, 28

ROC (12)

Bearish

8.14%

12-period Rate of Change

Elder Bull/Bear (13)

Bears Control

23.30

Bull: 23.30 · Bear: 1.11

Crabel Price Patterns

Pattern	Signal / Value
NR	True
NR4	True
NR5	False
NR7	False
WS	False
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	True
Bear Hook	False
Bull Hook	False
Stretch	3.54
Narrowest range in 4 trading days

High/Low/Range Statistics

Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low
5	1,233.10	1,191.48	41.62	3.4%	26.40	2.2%	57%	False	False
10	1,233.10	1,150.26	82.84	6.8%	24.27	2.0%	79%	False	False
20	1,233.10	1,074.77	158.33	13.0%	28.93	2.4%	89%	False	False
40	1,233.10	1,074.77	158.33	13.0%	29.40	2.4%	89%	False	False
60	1,316.32	1,074.77	241.55	19.9%	32.13	2.6%	58%	False	False
80	1,356.48	1,074.77	281.71	23.2%	28.02	2.3%	50%	False	False
100	1,356.48	1,074.77	281.71	23.2%	25.77	2.1%	50%	False	False
120	1,360.84	1,074.77	286.07	23.5%	23.85	2.0%	49%	False	False

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