37 Years of Excellence in Auction Market Research
CISCO Futures
1-303-306-1521 1-800 800 7227 Fax 1-303-306-1572
http://www.cisco-futures.com
dljones@cisco-futures.com
Auction Market Value Analytics (tm)
Sample Data
emini SP January 10, 2007
Copyright CISCO Futures 2007
Auction Market Value Analytics Sample Data
Three data sets:
1) Market Condition Report
2) Meta_Profiles, last 3 days
3) Overlay Demand Curves, 2 days and 3 days
Analysis: 1) Market Condition Report
Using the sample data below, we show a brief application: first checking for balance and then
using the value Analytics reference points, we will develop a strategy for the next day. For a more complete
analysis, go to the companion Background page.
1. MARKET CONDITION: 10 Day, 5 Day, 3 Day and 2 Day all in balance
Comment: Market solidly in balance: first upper limit 142450, first lower limit 141400 (alert for breakout)
Be prepared for responsive trading or breakout
2. META-PROFILE ANALYSES
Price, distributions, # price lines, TPO totals, TF factor, volatility & Hi/Lo commensurate with stability
Initial Balance: stable
Meta-Profile: Value area stable, as is range, POC and TPOs
Tails: Latest day tail completed a strong bottom, buyers may be gaining upper hand
Range Extension: on up side, may be buyers
Attempted Direction: POC down slightly, Rotation Factor UP fairly strong
Profile Information on multiple distributions: TPOs closed at highs
3. Meta-Profile for latest day, Jan 10
Two distibution day, upper distribution is the latest, close near upside breakout
4. Overlay, 3 day ending Jan 10: Close just 2 ticks from the Overlay high
Strategy for Jan 11
As of Close Today:
In this well balanced market we found no tendencies for the down side, but upside there
are the completed lower tail, the range extension, attempted direction and the close on the
highs of the latest meta-profile. The market closed near the high of the three day Overlay.
The reference points offer a preference for the upside if the market were to break out.
Next Day:
Examining the pre-market during the lower volume early morning hours confirmed the upside
strength pointed out by the end-of-day reference points.
Initiating a breakout long at the open would have given the trader a favorable entry. The
high of the day was 143575, a large opportunity based on a 142500 entry.
See Data for 20070111 below Sample Data for 20070110.
Tick Bars (30 min) are below 20070111 data.
*********** Value Analytics Data Sets ***********
Data Set 1) Value Analytics Table
Sample data, emini SP, as of the close, Jan 10, 2007
Value-Analytics Market Condition Report: Copyright CISCO 2007
Value Trading, A Page of Clues
UU 07 03 08:30 15:15
Set 1. Part 1: Market Condition
20070108 20070109 20070110
1. MARKET CONDITION: Balances...............
1a. Overlay Limits......... 2 Days 3 Days
Lim Upper-Lower 0 0 142450 141400 142475 141375
#Dist & Clos % 1 95 1 96
1b. Overlay Limits: 5 Days.........
Lim Upper-Lower 143800 141450 142950 141400 142900 141400
1c. Overlay Limits: 10 Days.........
Lim Upr - Lwr 143850 141450 143850 141400 143850 141400
Set 1. Part 2: Analytics Reference Points
2. META-PROFILE ANALYSES.....
2a.General...........
20070108 20070109 20070110
Price: Hi - Lo 142450 141300 142500 141400 142475 141225
Pri: Fst - Lst 141875 142250 142325 142075 141500 142450
# Distributions 2 1 2
# Price Lines 47 45 51
# TPOs - Total 209 216 196
# TICKS 10785 11552 9574
Td Facil Factor 4.45 4.80 3.84
VTY: 30 Min Bar 348 360 325
HI/LO % of High 28 28 28
2b. Initial Balance...........
IB Pri: Hi - Lo 141950 141300 142475 141950 141925 141225
IB Loc: Hi - Lo 21 47 2 23 23 51
IB Range 27 22 29
IB TPO Total 135 133 122
IB TPOs Abv/Blo 74 0 1 82 74 0
2c. Meta-Profile...........
Price VAU - VAL 142075 141350 142375 141800 142150 141475
P-Loc VAU - VAL 16 45 6 29 14 41
VA Range 30 24 28
VA POC 141725 142075 141850
VA POC TPO-SYM BCDEFGHIJ BCEJKLMNO CDEFGHIJ
VA TPOs Upper 123 87 89
VA TPOs Lower 71 117 88
2d. Tails..........
Tail Upper #Pri 1 0 0
Tail Lower #Pri 2 1 9
Tail Up Comment InCompl InCompl InCompl
Tail Dn Comment Compl InCompl Compl
2e. Range Extension.........
Rg Extension Up 141975 141975 0 0 142450 141950
Rg Extension Dn 0 0 141925 141450 0 0
2f. Attempted Direction (Balanced Market).........
AD: POC -- UP DN
AD: Rotation Fac 1 2 14
2g. Profile Information: Double (+) Distribution Days..........
Profile Number: 1...........
Profile Upr VAU 142350 142400 142375
Profile POC 142150 142025 142300
Profile Lwr VAL 142025 141475 142075
POC TPOS JKLMNO JKLMNO
Profile Number: 2...........
Profile Upr VAU 141950 0 141975
Profile POC 141700 0 141825
Profile Lwr VAL 141425 0 141500
POC TPOS BCDEFGHIJ CDEFGHIJ
Data Set 2: Meta-Profiles for emini SP, 20070110, 20070109, 20070108 08:30 15:15
Trade Date 20070110
Number of Prices: 51
1 142475 1 O O
2 142450 2 NO NO
3 142425 2 NO NO
4 142400 2 NO NO
5 142375 4 LMNO LMNO
6 142350 4 LMNO LMNO
7 142325 5 KLMNO KLMNO
8 142300 6 JKLMNO JKLMNO
9 142275 5 JKLMN JKLMN
10 142250 5 JKLMN JKLMN
11 142225 5 JKLMN JKLMN
12 142200 4 JKLM JKLM
13 142175 4 JKLM JKLM
14 142150 3 JKL JKL
15 142125 3 JKL JKL
16 142100 3 JKL JKL
17 142075 3 JKL JKL
18 142050 2 JL J L
19 142025 3 IJL IJ L
20 142000 2 IJ IJ
21 141975 3 DIJ D IJ
22 141950 3 DIJ D IJ
23 141925 5 CDHIJ CD HIJ
24 141900 5 CDHIJ CD HIJ
25 141875 6 CDEHIJ CDE HIJ
26 141850 8 CDEFGHIJ CDEFGHIJ
27 141825 8 CDEFGHIJ CDEFGHIJ
28 141800 7 CDEFGHI CDEFGHI
29 141775 7 CDEFGHI CDEFGHI
30 141750 6 CDEFGH CDEFGH
31 141725 6 CDEFGH CDEFGH
32 141700 6 CDEFGH CDEFGH
33 141675 6 CDEFGH CDEFGH
34 141650 7 BCDEFGH BCDEFGH
35 141625 7 BCDEFGH BCDEFGH
36 141600 7 BCDEFGH BCDEFGH
37 141575 6 BCDEFH BCDEF H
38 141550 5 BCDFH BCD F H
39 141525 4 BCFH BC F H
40 141500 4 BCFH BC F H
41 141475 2 BC BC
42 141450 1 B B
43 141425 1 B B
44 141400 1 B B
45 141375 1 B B
46 141350 1 B B
47 141325 1 B B
48 141300 1 B B
49 141275 1 B B
50 141250 1 B B
51 141225 1 B B
Trade Date 20070109
Number of Prices: 45
1 142500 1 D D
2 142475 2 BD B D
3 142450 2 BD B D
4 142425 2 BD B D
5 142400 3 BCD BCD
6 142375 4 BCDN BCD N
7 142350 5 BCDEN BCDE N
8 142325 5 BCDEN BCDE N
9 142300 5 BCDEN BCDE N
10 142275 6 BCDEKN BCDE K N
11 142250 6 BCDEKN BCDE K N
12 142225 7 BCDEKMN BCDE K MN
13 142200 7 BCDEKMN BCDE K MN
14 142175 7 BCEKLMN BC E KLMN
15 142150 8 BCEKLMNO BC E KLMNO
16 142125 9 BCEJKLMNO BC E JKLMNO
17 142100 9 BCEJKLMNO BC E JKLMNO
18 142075 9 BCEJKLMNO BC E JKLMNO
19 142050 9 BCEJKLMNO BC E JKLMNO
20 142025 9 BCEJKLMNO BC E JKLMNO
21 142000 7 CEJKLMO C E JKLM O
22 141975 6 CEJKLM C E JKLM
23 141950 6 CEJKLM C E JKLM
24 141925 5 EJKLM E JKLM
25 141900 4 EFJL EF J L
26 141875 5 EFIJL EF IJ L
27 141850 5 EFIJL EF IJ L
28 141825 5 EFIJL EF IJ L
29 141800 5 EFIJL EF IJ L
30 141775 4 EFIJ EF IJ
31 141750 5 EFHIJ EF HIJ
32 141725 4 EFHI EF HI
33 141700 4 FGHI FGHI
34 141675 4 FGHI FGHI
35 141650 4 FGHI FGHI
36 141625 4 FGHI FGHI
37 141600 4 FGHI FGHI
38 141575 4 FGHI FGHI
39 141550 3 FGH FGH
40 141525 3 FGH FGH
41 141500 3 FGH FGH
42 141475 3 FGH FGH
43 141450 2 GH GH
44 141425 1 G G
45 141400 1 G G
Trade Date 20070108
Number of Prices: 47
1 142450 1 M M
2 142425 1 M M
3 142400 2 MN MN
4 142375 2 MN MN
5 142350 3 KMN K MN
6 142325 3 KMN K MN
7 142300 5 KLMNO KLMNO
8 142275 5 KLMNO KLMNO
9 142250 5 KLMNO KLMNO
10 142225 5 KLMNO KLMNO
11 142200 6 JKLMNO JKLMNO
12 142175 6 JKLMNO JKLMNO
13 142150 6 JKLMNO JKLMNO
14 142125 5 JKLMO JKLM O
15 142100 4 JKLM JKLM
16 142075 4 JKLM JKLM
17 142050 4 JKLM JKLM
18 142025 4 JKLM JKLM
19 142000 1 J J
20 141975 2 EJ E J
21 141950 3 BEJ B E J
22 141925 3 BEJ B E J
23 141900 4 BEFJ B EF J
24 141875 5 BEFGJ B EFG J
25 141850 6 BDEFGJ B DEFG J
26 141825 6 BDEFGJ B DEFG J
27 141800 8 BCDEFGHJ BCDEFGH J
28 141775 8 BCDEFGHJ BCDEFGH J
29 141750 9 BCDEFGHIJ BCDEFGHIJ
30 141725 9 BCDEFGHIJ BCDEFGHIJ
31 141700 9 BCDEFGHIJ BCDEFGHIJ
32 141675 8 BCDEFGHI BCDEFGHI
33 141650 8 BCDEFGHI BCDEFGHI
34 141625 7 BCDEFHI BCDEF HI
35 141600 6 BCDEHI BCDE HI
36 141575 6 BCDEHI BCDE HI
37 141550 4 BCDE BCDE
38 141525 4 BCDE BCDE
39 141500 4 BCDE BCDE
40 141475 4 BCDE BCDE
41 141450 4 BCDE BCDE
42 141425 3 CDE CDE
43 141400 2 CD CD
44 141375 2 CD CD
45 141350 1 C C
46 141325 1 C C
47 141300 1 C C
Data Set 3: Overlays for 20070109, 20070108 (2 days) and 20070110, 20070109, 20070108 (3 days) 08:30 15:15
Overlay PART 1: 20070109, 20070108, #lines, #Days 49 2
Meta-Profile for 2 Day Overlay
POC 141950 Line = 23
Value Region 142300 141675
1 142500 1 +
2 142475 2 ++
3 142450 3 +++
4 142425 3 +++
5 142400 5 +++++
6 142375 6 ++++++
7 142350 8 ++++++++
8 142325 8 ++++++++
9 142300 10 ++++++++++
10 142275 11 +++++++++++
11 142250 11 +++++++++++
12 142225 12 ++++++++++++
13 142200 13 +++++++++++++
14 142175 13 +++++++++++++
15 142150 14 ++++++++++++++
16 142125 14 ++++++++++++++
17 142100 13 +++++++++++++
18 142075 13 +++++++++++++
19 142050 13 +++++++++++++
20 142025 13 +++++++++++++
21 142000 8 ++++++++
22 141975 8 ++++++++
23 141950 9 +++++++++
24 141925 8 ++++++++
25 141900 8 ++++++++
26 141875 10 ++++++++++
27 141850 11 +++++++++++
28 141825 11 +++++++++++
29 141800 13 +++++++++++++
30 141775 12 ++++++++++++
31 141750 14 ++++++++++++++
32 141725 13 +++++++++++++
33 141700 13 +++++++++++++
34 141675 12 ++++++++++++
35 141650 12 ++++++++++++
36 141625 11 +++++++++++
37 141600 10 ++++++++++
38 141575 10 ++++++++++
39 141550 7 +++++++
40 141525 7 +++++++
41 141500 7 +++++++
42 141475 7 +++++++
43 141450 6 ++++++
44 141425 4 ++++
45 141400 3 +++
46 141375 2 ++
47 141350 1 +
48 141325 1 +
49 141300 1 +
Overlay PART 2: 20070110, 20070109, 20070108, #lines, #Days 52 3
Meta-Profile for 3 Day Overlay
POC 141775 Line = 30
Value Region 142175 141500
1 142500 1 +
2 142475 3 +++
3 142450 5 +++++
4 142425 5 +++++
5 142400 7 +++++++
6 142375 10 ++++++++++
7 142350 12 ++++++++++++
8 142325 13 +++++++++++++
9 142300 16 ++++++++++++++++
10 142275 16 ++++++++++++++++
11 142250 16 ++++++++++++++++
12 142225 17 +++++++++++++++++
13 142200 17 +++++++++++++++++
14 142175 17 +++++++++++++++++
15 142150 17 +++++++++++++++++
16 142125 17 +++++++++++++++++
17 142100 16 ++++++++++++++++
18 142075 16 ++++++++++++++++
19 142050 15 +++++++++++++++
20 142025 16 ++++++++++++++++
21 142000 10 ++++++++++
22 141975 11 +++++++++++
23 141950 12 ++++++++++++
24 141925 13 +++++++++++++
25 141900 13 +++++++++++++
26 141875 16 ++++++++++++++++
27 141850 19 +++++++++++++++++++
28 141825 19 +++++++++++++++++++
29 141800 20 ++++++++++++++++++++
30 141775 19 +++++++++++++++++++
31 141750 20 ++++++++++++++++++++
32 141725 19 +++++++++++++++++++
33 141700 19 +++++++++++++++++++
34 141675 18 ++++++++++++++++++
35 141650 19 +++++++++++++++++++
36 141625 18 ++++++++++++++++++
37 141600 17 +++++++++++++++++
38 141575 16 ++++++++++++++++
39 141550 12 ++++++++++++
40 141525 11 +++++++++++
41 141500 11 +++++++++++
42 141475 9 +++++++++
43 141450 7 +++++++
44 141425 5 +++++
45 141400 4 ++++
46 141375 3 +++
47 141350 2 ++
48 141325 2 ++
49 141300 2 ++
50 141275 1 +
51 141250 1 +
52 141225 1 +
------------------------------------------ Sample 20070111 ------------------------------------------
Data Set 1) Value Analytics Table
Sample data, emini SP, as of the close, Jan 11, 2007
Value-Analytics Market Condition Report: Copyright CISCO 2007
Value Trading, A Page of Clues
UU 07 03 08:30 15:15
Set 1. Part 1: Market Condition
20070109 20070110 20070111
1. MARKET CONDITION: Balances...............
1a. Overlay Limits......... 2 Days 3 Days
Lim3 Upr - Lwr 0 0 142475 141450 143500 142925
1b. Overlay Limits: 5 Days.........
Lim5 Upr - Lwr 142950 141400 142900 141400 0 0
1c. Overlay Limits: 10 Days.........
Lim10 Upr - Lwr 143850 141400 143850 141400 143850 141400
2. META-PROFILE ANALYSES.....
2a.General...........
Price: Hi - Lo 142500 141400 142475 141225 143575 142400
Pri: Fst - Lst 142325 142075 141500 142450 142450 143100
# Distributions 1 2 1
# Price Lines 45 51 48
# TPOs - Total 216 196 175
# TICKS 11552 9574 8807
Td Facil Factor 4.80 3.84 3.65
VTY: 30 Min Bar 360 325 287
HI/LO % of High 28 28 28
2b. Initial Balance...........
IB Pri: Hi - Lo 142475 141950 141925 141225 143200 142400
IB Loc: Hi - Lo 2 23 23 51 16 48
IB Range 22 29 33
IB Rng % of Day 48 56 68
IB TPO Total 133 122 94
IB TPOs Abv/Blo 1 82 74 0 81 0
2c. Meta-Profile...........
Price VAU - VAL 142375 141800 142150 141475 143450 143025
P-Loc VAU - VAL 6 29 14 41 6 23
VA Range 24 28 18
VA POC 142075 141850 143200
VA POC TPO-SYM BCEJKLMNO CDEFGHIJ CDIJKLMNO
VA TPOs Upper 87 89 80
VA TPOs Lower 117 88 67
2d. Tails..........
Tail Upper #Pri 0 0 0
Tail Lower #Pri 1 9 17
Tail Up Comment InCompl InCompl InCompl
Tail Dn Comment InCompl Compl Compl
2e. Range Extension.........
Rg Extension Up 0 0 142450 141950 143550 143225
Rg Extension Dn 141925 141450 0 0 0 0
2f. Attempted Direction (Balanced Market).........
AD: POC -- DN UP
AD: Rotn Fac 2 14 4
Data Set 2. Meta-Profile for emini SP, 20070111, 20070110, 20070109 08:30 15:15
Trade Date 20070111
Number of Prices: 48
1 143575 1 G G
2 143550 2 EG E G
3 143525 2 EG E G
4 143500 3 EGH E GH
5 143475 4 EGHI E GHI
6 143450 6 EFGHIM EFGHI M
7 143425 7 EFGHILM EFGHI LM
8 143400 7 EFGHILM EFGHI LM
9 143375 7 EFGHILM EFGHI LM
10 143350 7 EFGIJLM EFG IJ LM
11 143325 6 EFIJLM EF IJ LM
12 143300 7 EFIJLMN EF IJ LMN
13 143275 7 DEIJLMN DE IJ LMN
14 143250 8 DEIJLMNO DE IJ LMNO
15 143225 7 DIJLMNO D IJ LMNO
16 143200 9 CDIJKLMNO CD IJKLMNO
17 143175 9 CDIJKLMNO CD IJKLMNO
18 143150 8 CDIKLMNO CD I KLMNO
19 143125 7 CDKLMNO CD KLMNO
20 143100 6 CDKMNO CD K MNO
21 143075 5 CDKMO CD K M O
22 143050 5 CDKMO CD K M O
23 143025 5 BCDKM BCD K M
24 143000 5 BCDKM BCD K M
25 142975 4 BCDK BCD K
26 142950 4 BCDK BCD K
27 142925 3 BCK BC K
28 142900 2 BC BC
29 142875 2 BC BC
30 142850 2 BC BC
31 142825 1 B B
32 142800 1 B B
33 142775 1 B B
34 142750 1 B B
35 142725 1 B B
36 142700 1 B B
37 142675 1 B B
38 142650 1 B B
39 142625 1 B B
40 142600 1 B B
41 142575 1 B B
42 142550 1 B B
43 142525 1 B B
44 142500 1 B B
45 142475 1 B B
46 142450 1 B B
47 142425 1 B B
48 142400 1 B B
Trade Date 20070110
Number of Prices: 51
1 142475 1 O O
2 142450 2 NO NO
3 142425 2 NO NO
4 142400 2 NO NO
5 142375 4 LMNO LMNO
6 142350 4 LMNO LMNO
7 142325 5 KLMNO KLMNO
8 142300 6 JKLMNO JKLMNO
9 142275 5 JKLMN JKLMN
10 142250 5 JKLMN JKLMN
11 142225 5 JKLMN JKLMN
12 142200 4 JKLM JKLM
13 142175 4 JKLM JKLM
14 142150 3 JKL JKL
15 142125 3 JKL JKL
16 142100 3 JKL JKL
17 142075 3 JKL JKL
18 142050 2 JL J L
19 142025 3 IJL IJ L
20 142000 2 IJ IJ
21 141975 3 DIJ D IJ
22 141950 3 DIJ D IJ
23 141925 5 CDHIJ CD HIJ
24 141900 5 CDHIJ CD HIJ
25 141875 6 CDEHIJ CDE HIJ
26 141850 8 CDEFGHIJ CDEFGHIJ
27 141825 8 CDEFGHIJ CDEFGHIJ
28 141800 7 CDEFGHI CDEFGHI
29 141775 7 CDEFGHI CDEFGHI
30 141750 6 CDEFGH CDEFGH
31 141725 6 CDEFGH CDEFGH
32 141700 6 CDEFGH CDEFGH
33 141675 6 CDEFGH CDEFGH
34 141650 7 BCDEFGH BCDEFGH
35 141625 7 BCDEFGH BCDEFGH
36 141600 7 BCDEFGH BCDEFGH
37 141575 6 BCDEFH BCDEF H
38 141550 5 BCDFH BCD F H
39 141525 4 BCFH BC F H
40 141500 4 BCFH BC F H
41 141475 2 BC BC
42 141450 1 B B
43 141425 1 B B
44 141400 1 B B
45 141375 1 B B
46 141350 1 B B
47 141325 1 B B
48 141300 1 B B
49 141275 1 B B
50 141250 1 B B
51 141225 1 B B
Trade Date 20070109
Number of Prices: 45
1 142500 1 D D
2 142475 2 BD B D
3 142450 2 BD B D
4 142425 2 BD B D
5 142400 3 BCD BCD
6 142375 4 BCDN BCD N
7 142350 5 BCDEN BCDE N
8 142325 5 BCDEN BCDE N
9 142300 5 BCDEN BCDE N
10 142275 6 BCDEKN BCDE K N
11 142250 6 BCDEKN BCDE K N
12 142225 7 BCDEKMN BCDE K MN
13 142200 7 BCDEKMN BCDE K MN
14 142175 7 BCEKLMN BC E KLMN
15 142150 8 BCEKLMNO BC E KLMNO
16 142125 9 BCEJKLMNO BC E JKLMNO
17 142100 9 BCEJKLMNO BC E JKLMNO
18 142075 9 BCEJKLMNO BC E JKLMNO
19 142050 9 BCEJKLMNO BC E JKLMNO
20 142025 9 BCEJKLMNO BC E JKLMNO
21 142000 7 CEJKLMO C E JKLM O
22 141975 6 CEJKLM C E JKLM
23 141950 6 CEJKLM C E JKLM
24 141925 5 EJKLM E JKLM
25 141900 4 EFJL EF J L
26 141875 5 EFIJL EF IJ L
27 141850 5 EFIJL EF IJ L
28 141825 5 EFIJL EF IJ L
29 141800 5 EFIJL EF IJ L
30 141775 4 EFIJ EF IJ
31 141750 5 EFHIJ EF HIJ
32 141725 4 EFHI EF HI
33 141700 4 FGHI FGHI
34 141675 4 FGHI FGHI
35 141650 4 FGHI FGHI
36 141625 4 FGHI FGHI
37 141600 4 FGHI FGHI
38 141575 4 FGHI FGHI
39 141550 3 FGH FGH
40 141525 3 FGH FGH
41 141500 3 FGH FGH
42 141475 3 FGH FGH
43 141450 2 GH GH
44 141425 1 G G
45 141400 1 G G
Data Set 3. Overlays for emini SP, 20070111, 20070110, 20070109 08:30 15:15
Overlay PART 1: 20070110, 20070109, #lines, #Days 52 2
Completed Meta-Profile for 2 Day Overlay
POC 141850 27
Value Region 142225 141575
1 142500 1 +
2 142475 3 +++
3 142450 4 ++++
4 142425 4 ++++
5 142400 5 +++++
6 142375 8 ++++++++
7 142350 9 +++++++++
8 142325 10 ++++++++++
9 142300 11 +++++++++++
10 142275 11 +++++++++++
11 142250 11 +++++++++++
12 142225 12 ++++++++++++
13 142200 11 +++++++++++
14 142175 11 +++++++++++
15 142150 11 +++++++++++
16 142125 12 ++++++++++++
17 142100 12 ++++++++++++
18 142075 12 ++++++++++++
19 142050 11 +++++++++++
20 142025 12 ++++++++++++
21 142000 9 +++++++++
22 141975 9 +++++++++
23 141950 9 +++++++++
24 141925 10 ++++++++++
25 141900 9 +++++++++
26 141875 11 +++++++++++
27 141850 13 +++++++++++++
28 141825 13 +++++++++++++
29 141800 12 ++++++++++++
30 141775 11 +++++++++++
31 141750 11 +++++++++++
32 141725 10 ++++++++++
33 141700 10 ++++++++++
34 141675 10 ++++++++++
35 141650 11 +++++++++++
36 141625 11 +++++++++++
37 141600 11 +++++++++++
38 141575 10 ++++++++++
39 141550 8 ++++++++
40 141525 7 +++++++
41 141500 7 +++++++
42 141475 5 +++++
43 141450 3 +++
44 141425 2 ++
45 141400 2 ++
46 141375 1 +
47 141350 1 +
48 141325 1 +
49 141300 1 +
50 141275 1 +
51 141250 1 +
52 141225 1 +
Data Set 3. Overlays for emini SP, 20070111, 20070110, 20070109 08:30 15:15
Overlay PART 2: 20070111, 20070110, 20070109, #lines, #Days 95 3
POC 141850 70
Value Area/region 142500 141400
1 143575 1 +
2 143550 2 ++
3 143525 2 ++
4 143500 3 +++
5 143475 4 ++++
6 143450 6 ++++++
7 143425 7 +++++++
8 143400 7 +++++++
9 143375 7 +++++++
10 143350 7 +++++++
11 143325 6 ++++++
12 143300 7 +++++++
13 143275 7 +++++++
14 143250 8 ++++++++
15 143225 7 +++++++
16 143200 9 +++++++++
17 143175 9 +++++++++
18 143150 8 ++++++++
19 143125 7 +++++++
20 143100 6 ++++++
21 143075 5 +++++
22 143050 5 +++++
23 143025 5 +++++
24 143000 5 +++++
25 142975 4 ++++
26 142950 4 ++++
27 142925 3 +++
28 142900 2 ++
29 142875 2 ++
30 142850 2 ++
31 142825 1 +
32 142800 1 +
33 142775 1 +
34 142750 1 +
35 142725 1 +
36 142700 1 +
37 142675 1 +
38 142650 1 +
39 142625 1 +
40 142600 1 +
41 142575 1 +
42 142550 1 +
43 142525 1 +
44 142500 2 ++
45 142475 4 ++++
46 142450 5 +++++
47 142425 5 +++++
48 142400 6 ++++++
49 142375 8 ++++++++
50 142350 9 +++++++++
51 142325 10 ++++++++++
52 142300 11 +++++++++++
53 142275 11 +++++++++++
54 142250 11 +++++++++++
55 142225 12 ++++++++++++
56 142200 11 +++++++++++
57 142175 11 +++++++++++
58 142150 11 +++++++++++
59 142125 12 ++++++++++++
60 142100 12 ++++++++++++
61 142075 12 ++++++++++++
62 142050 11 +++++++++++
63 142025 12 ++++++++++++
64 142000 9 +++++++++
65 141975 9 +++++++++
66 141950 9 +++++++++
67 141925 10 ++++++++++
68 141900 9 +++++++++
69 141875 11 +++++++++++
70 141850 13 +++++++++++++
71 141825 13 +++++++++++++
72 141800 12 ++++++++++++
73 141775 11 +++++++++++
74 141750 11 +++++++++++
75 141725 10 ++++++++++
76 141700 10 ++++++++++
77 141675 10 ++++++++++
78 141650 11 +++++++++++
79 141625 11 +++++++++++
80 141600 11 +++++++++++
81 141575 10 ++++++++++
82 141550 8 ++++++++
83 141525 7 +++++++
84 141500 7 +++++++
85 141475 5 +++++
86 141450 3 +++
87 141425 2 ++
88 141400 2 ++
89 141375 1 +
90 141350 1 +
91 141325 1 +
92 141300 1 +
93 141275 1 +
94 141250 1 +
95 141225 1 +
------------------------------ Half Hour Tick Bars 20070111 -------------------------
emini SP Mar 07 Jan 11, 2007
UU DEL-MO/YR 03 07 MO/DY/YR 01 11 07
OPEN,CLOSE 142525 143125
HIGH,LOW 143575 142075
# Ticks 10079
0: 0: 0 142525 142525 142450 142500 10
0:30: 0 142475 142525 142475 142525 10
1: 0: 0 142500 142625 142475 142575 52 <= marginal # of Ticks for trading
1:30: 0 142600 142600 142450 142475 44
2: 0: 0 142450 142650 142425 142650 57
2:30: 0 142675 142700 142475 142550 52
3: 0: 0 142525 142700 142525 142650 28
3:30: 0 142625 142650 142475 142500 36
4: 0: 0 142475 142625 142450 142475 39
4:30: 0 142500 142525 142375 142400 41
5: 0: 0 142375 142450 142350 142400 56
5:30: 0 142425 142475 142375 142425 21
6: 0: 0 142400 142425 142275 142275 119 <= serious volume
6:30: 0 142250 142475 142175 142325 115
7: 0: 0 142300 142350 142075 142125 128
7:30: 0 142150 142350 142100 142275 146
8: 0: 0 142300 142500 142275 142475 137 Assume trader begins at 08:30
8:30: 0 142450 143025 142400 142950 1543 Entry long 142475 (2 Day), 142500 (3 Day)
9: 0: 0 142925 143200 142850 142975 877 and at 142925 (5 Day)
9:30: 0 142950 143275 142950 143275 564
10: 0: 0 143250 143550 143250 143325 683
10:30: 0 143350 143450 143300 143400 384
11: 0: 0 143425 143575 143350 143475 440
11:30: 0 143450 143500 143375 143450 256
12: 0: 0 143475 143475 143150 143200 360
12:30: 0 143175 143350 143175 143200 314
13: 0: 0 143175 143200 142925 143150 826
13:30: 0 143125 143425 143125 143325 623
14: 0: 0 143350 143450 143000 143200 757
14:30: 0 143225 143300 143100 143200 666
15: 0: 0 143175 143250 143050 143100 514 Exit on close 143125
15:30: 0 143125 143125 143075 143075 35
16: 0: 0 143100 143125 143075 143100 11
16:30: 0 0 0 0 0 0
17: 0: 0 143075 143150 143075 143100 16
17:30: 0 143125 143150 143100 143150 4
18: 0: 0 143125 143125 143100 143100 4
18:30: 0 143125 143175 143100 143150 6
19: 0: 0 143100 143150 143075 143150 11
19:30: 0 143125 143200 143100 143175 17
20: 0: 0 143200 143200 143125 143150 11
20:30: 0 143125 143200 143125 143200 12
21: 0: 0 143175 143200 143100 143100 18
21:30: 0 143125 143200 143100 143175 15
22: 0: 0 143200 143200 143175 143200 7
22:30: 0 143225 143225 143175 143175 7
23: 0: 0 143200 143200 143125 143150 6
23:30: 0 143125 143125 143125 143125 1
-------------------------- UU Mar: January 11, 2007 -------------------
Value-Analytics Market Condition Report: Copyright CISCO 2007 #Ticks/Iertk 0 2
Value Analytics data: UU 07 03 08:30 15:15
VALUE TABLE REPORT
Value Trading, A Page of Clues
UU 07 03 08:30 15:15
20070109 20070110 20070111
1. MARKET CONDITION: Balances...............
1a. Overlay Limits......... 2 Days 3 Days
Lim3 Upr - Lwr 0 0 143500 142925 143500 142925
#Dist & Clos %R 3 79 2 79
1b. Overlay Limits: 5 Days.........
Lim5 Upr - Lwr 142950 141400 142900 141400 0 0
1c. Overlay Limits: 10 Days.........
Lim10 Upr - Lwr 143850 141400 143850 141400 143850 141400
2. META-PROFILE ANALYSES.....
2a.General...........
Price: Hi - Lo 142500 141400 142475 141225 143575 142400
Pri: Fst - Lst 142325 142075 141500 142450 142450 143100
# Distributions 1 2 1
# Price Lines 45 51 48
# TPOs - Total 216 196 175
# TICKS 11552 9574 8807
Td Facil Factor 4.80 3.84 3.65
VTY: 30 Min Bar 360 325 287
HI/LO % of High 28 28 28
2b. Initial Balance...........
IB Pri: Hi - Lo 142475 141950 141925 141225 143200 142400
IB Loc: Hi - Lo 2 23 23 51 16 48
IB Range 22 29 33
IB Rng % of Day 48 56 68
IB TPO Total 133 122 94
IB TPOs Abv/Blo 1 82 74 0 81 0
2c. Meta-Profile...........
Price VAU - VAL 142375 141800 142150 141475 143450 143025
P-Loc VAU - VAL 6 29 14 41 6 23
VA Range 24 28 18
VA POC 142075 141850 143200
VA POC TPO-SYM BCEJKLMNO CDEFGHIJ CDIJKLMNO
VA TPOs Upper 87 89 80
VA TPOs Lower 117 88 67
2d. Tails..........
Tail Upper #Pri 1 1 1
Tail Lower #Pri 2 10 18
Tail Up Comment InCompl InCompl InCompl
Tail Dn Comment Compl Compl Compl
2e. Range Extension.........
Rg Extension Up 0 0 142450 141950 143550 143225
Rg Extension Dn 141925 141450 0 0 0 0
2f. Attempted Direction (Balanced Market).........
AD: POC -- DN UP
AD: Rotn Fac 2 14 4
2g. Profile Information: Double (+) Distribution Days..........
Profile Number: 1...........
Profile Upr VAU 142400 142375 143500
Profile POC 142025 142300 143175
Profile Lwr VAL 141475 142075 142925
POC TPOS BCEJKLMNO JKLMNO CDIJKLMNO
VALUE 2 DAY OVERLAY REPORT
Profile Number: 2...........
Profile Upr VAU 0 141975 0
Profile POC 0 141825 0
Profile Lwr VAL 0 141500 0
POC TPOS CDEFGHIJ
VALUE PROFILES REPORT
Trade Date 20070111
Number of Prices: 48
1 143575 1 G G
2 143550 2 EG E G
3 143525 2 EG E G
4 143500 3 EGH E GH
5 143475 4 EGHI E GHI
6 143450 6 EFGHIM EFGHI M
7 143425 7 EFGHILM EFGHI LM
8 143400 7 EFGHILM EFGHI LM
9 143375 7 EFGHILM EFGHI LM
10 143350 7 EFGIJLM EFG IJ LM
11 143325 6 EFIJLM EF IJ LM
12 143300 7 EFIJLMN EF IJ LMN
13 143275 7 DEIJLMN DE IJ LMN
14 143250 8 DEIJLMNO DE IJ LMNO
15 143225 7 DIJLMNO D IJ LMNO
16 143200 9 CDIJKLMNO CD IJKLMNO
17 143175 9 CDIJKLMNO CD IJKLMNO
18 143150 8 CDIKLMNO CD I KLMNO
19 143125 7 CDKLMNO CD KLMNO
20 143100 6 CDKMNO CD K MNO
21 143075 5 CDKMO CD K M O
22 143050 5 CDKMO CD K M O
23 143025 5 BCDKM BCD K M
24 143000 5 BCDKM BCD K M
25 142975 4 BCDK BCD K
26 142950 4 BCDK BCD K
27 142925 3 BCK BC K
28 142900 2 BC BC
29 142875 2 BC BC
30 142850 2 BC BC
31 142825 1 B B
32 142800 1 B B
33 142775 1 B B
34 142750 1 B B
35 142725 1 B B
36 142700 1 B B
37 142675 1 B B
38 142650 1 B B
39 142625 1 B B
40 142600 1 B B
41 142575 1 B B
42 142550 1 B B
43 142525 1 B B
44 142500 1 B B
45 142475 1 B B
46 142450 1 B B
47 142425 1 B B
48 142400 1 B B
Trade Date 20070110
Number of Prices: 51
1 142475 1 O O
2 142450 2 NO NO
3 142425 2 NO NO
4 142400 2 NO NO
5 142375 4 LMNO LMNO
6 142350 4 LMNO LMNO
7 142325 5 KLMNO KLMNO
8 142300 6 JKLMNO JKLMNO
9 142275 5 JKLMN JKLMN
10 142250 5 JKLMN JKLMN
11 142225 5 JKLMN JKLMN
12 142200 4 JKLM JKLM
13 142175 4 JKLM JKLM
14 142150 3 JKL JKL
15 142125 3 JKL JKL
16 142100 3 JKL JKL
17 142075 3 JKL JKL
18 142050 2 JL J L
19 142025 3 IJL IJ L
20 142000 2 IJ IJ
21 141975 3 DIJ D IJ
22 141950 3 DIJ D IJ
23 141925 5 CDHIJ CD HIJ
24 141900 5 CDHIJ CD HIJ
25 141875 6 CDEHIJ CDE HIJ
26 141850 8 CDEFGHIJ CDEFGHIJ
27 141825 8 CDEFGHIJ CDEFGHIJ
28 141800 7 CDEFGHI CDEFGHI
29 141775 7 CDEFGHI CDEFGHI
30 141750 6 CDEFGH CDEFGH
31 141725 6 CDEFGH CDEFGH
32 141700 6 CDEFGH CDEFGH
33 141675 6 CDEFGH CDEFGH
34 141650 7 BCDEFGH BCDEFGH
35 141625 7 BCDEFGH BCDEFGH
36 141600 7 BCDEFGH BCDEFGH
37 141575 6 BCDEFH BCDEF H
38 141550 5 BCDFH BCD F H
39 141525 4 BCFH BC F H
40 141500 4 BCFH BC F H
41 141475 2 BC BC
42 141450 1 B B
43 141425 1 B B
44 141400 1 B B
45 141375 1 B B
46 141350 1 B B
47 141325 1 B B
48 141300 1 B B
49 141275 1 B B
50 141250 1 B B
51 141225 1 B B
Trade Date 20070109
Number of Prices: 45
1 142500 1 D D
2 142475 2 BD B D
3 142450 2 BD B D
4 142425 2 BD B D
5 142400 3 BCD BCD
6 142375 4 BCDN BCD N
7 142350 5 BCDEN BCDE N
8 142325 5 BCDEN BCDE N
9 142300 5 BCDEN BCDE N
10 142275 6 BCDEKN BCDE K N
11 142250 6 BCDEKN BCDE K N
12 142225 7 BCDEKMN BCDE K MN
13 142200 7 BCDEKMN BCDE K MN
14 142175 7 BCEKLMN BC E KLMN
15 142150 8 BCEKLMNO BC E KLMNO
16 142125 9 BCEJKLMNO BC E JKLMNO
17 142100 9 BCEJKLMNO BC E JKLMNO
18 142075 9 BCEJKLMNO BC E JKLMNO
19 142050 9 BCEJKLMNO BC E JKLMNO
20 142025 9 BCEJKLMNO BC E JKLMNO
21 142000 7 CEJKLMO C E JKLM O
22 141975 6 CEJKLM C E JKLM
23 141950 6 CEJKLM C E JKLM
24 141925 5 EJKLM E JKLM
25 141900 4 EFJL EF J L
26 141875 5 EFIJL EF IJ L
27 141850 5 EFIJL EF IJ L
28 141825 5 EFIJL EF IJ L
29 141800 5 EFIJL EF IJ L
30 141775 4 EFIJ EF IJ
31 141750 5 EFHIJ EF HIJ
32 141725 4 EFHI EF HI
33 141700 4 FGHI FGHI
34 141675 4 FGHI FGHI
35 141650 4 FGHI FGHI
36 141625 4 FGHI FGHI
37 141600 4 FGHI FGHI
38 141575 4 FGHI FGHI
39 141550 3 FGH FGH
40 141525 3 FGH FGH
41 141500 3 FGH FGH
42 141475 3 FGH FGH
43 141450 2 GH GH
44 141425 1 G G
45 141400 1 G G
20070109 20070110 20070111
VALUE 2 DAY OVERLAY REPORT
Completed Meta-Profile for 2 Day Overlay
POC 143200 16
Value Region 143575 141900
1 143575 1 +
2 143550 2 ++
3 143525 2 ++
4 143500 3 +++
5 143475 4 ++++
6 143450 6 ++++++
7 143425 7 +++++++
8 143400 7 +++++++
9 143375 7 +++++++
10 143350 7 +++++++
11 143325 6 ++++++
12 143300 7 +++++++
13 143275 7 +++++++
14 143250 8 ++++++++
15 143225 7 +++++++
16 143200 9 +++++++++
17 143175 9 +++++++++
18 143150 8 ++++++++
19 143125 7 +++++++
20 143100 6 ++++++
21 143075 5 +++++
22 143050 5 +++++
23 143025 5 +++++
24 143000 5 +++++
25 142975 4 ++++
26 142950 4 ++++
27 142925 3 +++
28 142900 2 ++
29 142875 2 ++
30 142850 2 ++
31 142825 1 +
32 142800 1 +
33 142775 1 +
34 142750 1 +
35 142725 1 +
36 142700 1 +
37 142675 1 +
38 142650 1 +
39 142625 1 +
40 142600 1 +
41 142575 1 +
42 142550 1 +
43 142525 1 +
44 142500 1 +
45 142475 2 ++
46 142450 3 +++
47 142425 3 +++
48 142400 3 +++
49 142375 4 ++++
50 142350 4 ++++
51 142325 5 +++++
52 142300 6 ++++++
53 142275 5 +++++
54 142250 5 +++++
55 142225 5 +++++
56 142200 4 ++++
57 142175 4 ++++
58 142150 3 +++
59 142125 3 +++
60 142100 3 +++
61 142075 3 +++
62 142050 2 ++
63 142025 3 +++
64 142000 2 ++
65 141975 3 +++
66 141950 3 +++
67 141925 5 +++++
68 141900 5 +++++
69 141875 6 ++++++
70 141850 8 ++++++++
71 141825 8 ++++++++
72 141800 7 +++++++
73 141775 7 +++++++
74 141750 6 ++++++
75 141725 6 ++++++
76 141700 6 ++++++
77 141675 6 ++++++
78 141650 7 +++++++
79 141625 7 +++++++
80 141600 7 +++++++
81 141575 6 ++++++
82 141550 5 +++++
83 141525 4 ++++
84 141500 4 ++++
85 141475 2 ++
86 141450 1 +
87 141425 1 +
88 141400 1 +
89 141375 1 +
90 141350 1 +
91 141325 1 +
92 141300 1 +
93 141275 1 +
94 141250 1 +
95 141225 1 +
VALUE 3 DAY OVERLAY REPORT
POC 141850 70
Value Area 142500 141400
1 143575 1 +
2 143550 2 ++
3 143525 2 ++
4 143500 3 +++
5 143475 4 ++++
6 143450 6 ++++++
7 143425 7 +++++++
8 143400 7 +++++++
9 143375 7 +++++++
10 143350 7 +++++++
11 143325 6 ++++++
12 143300 7 +++++++
13 143275 7 +++++++
14 143250 8 ++++++++
15 143225 7 +++++++
16 143200 9 +++++++++
17 143175 9 +++++++++
18 143150 8 ++++++++
19 143125 7 +++++++
20 143100 6 ++++++
21 143075 5 +++++
22 143050 5 +++++
23 143025 5 +++++
24 143000 5 +++++
25 142975 4 ++++
26 142950 4 ++++
27 142925 3 +++
28 142900 2 ++
29 142875 2 ++
30 142850 2 ++
31 142825 1 +
32 142800 1 +
33 142775 1 +
34 142750 1 +
35 142725 1 +
36 142700 1 +
37 142675 1 +
38 142650 1 +
39 142625 1 +
40 142600 1 +
41 142575 1 +
42 142550 1 +
43 142525 1 +
44 142500 2 ++
45 142475 4 ++++
46 142450 5 +++++
47 142425 5 +++++
48 142400 6 ++++++
49 142375 8 ++++++++
50 142350 9 +++++++++
51 142325 10 ++++++++++
52 142300 11 +++++++++++
53 142275 11 +++++++++++
54 142250 11 +++++++++++
55 142225 12 ++++++++++++
56 142200 11 +++++++++++
57 142175 11 +++++++++++
58 142150 11 +++++++++++
59 142125 12 ++++++++++++
60 142100 12 ++++++++++++
61 142075 12 ++++++++++++
62 142050 11 +++++++++++
63 142025 12 ++++++++++++
64 142000 9 +++++++++
65 141975 9 +++++++++
66 141950 9 +++++++++
67 141925 10 ++++++++++
68 141900 9 +++++++++
69 141875 11 +++++++++++
70 141850 13 +++++++++++++
71 141825 13 +++++++++++++
72 141800 12 ++++++++++++
73 141775 11 +++++++++++
74 141750 11 +++++++++++
75 141725 10 ++++++++++
76 141700 10 ++++++++++
77 141675 10 ++++++++++
78 141650 11 +++++++++++
79 141625 11 +++++++++++
80 141600 11 +++++++++++
81 141575 10 ++++++++++
82 141550 8 ++++++++
83 141525 7 +++++++
84 141500 7 +++++++
85 141475 5 +++++
86 141450 3 +++
87 141425 2 ++
88 141400 2 ++
89 141375 1 +
90 141350 1 +
91 141325 1 +
92 141300 1 +
93 141275 1 +
94 141250 1 +
95 141225 1 +