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CISCO Futures
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dljones@cisco-futures.com


Five Billion Dollar Loss on Natural Gas Trading

CISCO Futures© September 22, 2006

A hedge fund, Amaranth Advisors, has reported a trading loss in excess of five billion dollars in trading natural gas futures and options. According to an article in the Wall Street Journal, September 20, 2006, page C1, the loss stemmed from a turndown in the price of natural gas. Prior to the change in trend (from up to down, which occurred on August 1), the fund had a reported $2 billion gain in their natural gas trade.

Evidently, the Amaranth trader was treating the futures market much as if he were trading equities, where the up side (long) is the preferred way to trade. Unlike stocks, futures may be traded long or short with equal ease. Petroleums have been strong, very strong, in the recent past. In such case, the long side is the way to trade. However, commodities go up and they go down. Often the fall is faster than the rise. A strong market in either direction offers opportunity to the knowledgeable futures trader.

Following the high on August 1 there were a few days of falling prices, with a recovery, lower high on August 25. From that point on the market has continued to drop through the present.

Financial markets all follow the path of balance to trend to balance to trend, etc. in a regular non-cyclic manner. Balance or trend or intermediate points in between are known as market condition. The trader who knows a market's condition has the foundation upon which to build a trading strategy. A well known methodology for determining market condition is the Overlay Demand Curve, pioneered by CISCO. In balanced markets the Overlay provides support and resistance. In a trend, Overlays display the run - pause nature of moving markets. Regardless of any other considerations, the trader must align with the market, must be in concert with the market condition as soon as the condition becomes apparent. There is no prediction involved, just observation.

The data below looks at market structure on a five day consolidated (Overlay) basis, day by day from August 16 through September 7. During this period the natural gas market experienced a down trend going into balance on August 17; then a short up trend that quickly terminated into a balance that held for five days through August 25. August 28 was another down day that ended in the bottom prices but also showed a three day grouping. A down trend began in earnest on August 29, terminating in balance on September 5, by the end of the day. A new down trend began on September 7 and continues through this writing. Since September 6, price has fallen 27 percent (8019 to 5881, November delivery).

The battle between the long and short sides is apparent in the table. The market fundamentals, whatever they were, were net down the entire period. But the traders, the herd, fought the inevitable. Over the fifteen day period, the table shows the struggle. The five days from August 21 shows the strength of the market's (public, probably) belief in a continuation of the earlier very strong rise. The last gasp of the bulls was on August 25 when a new local high was hit. From there on, the herd has stampeded, but in the opposite direction, down.

Any knowledgeable trader who has learned how to combine meta-profiles into Overlays (data available on the CISCO site, and others, too) could access and use these end-of-day displays as a basis for a trading strategy. An understanding of market condition is the starting point for all trading decisions. For instance, at the close of August 28, natural gas was in an uneasy balance (9020 - 8840). The following day, August 29, saw a downside breakout at 8830. Let us imagine that we (presumably like the Amaranth trader) entered the day long. No matter what other strategy we might have, we would exit our long on the change of market condition from balance to down. This is Trading 101. If Amaranth's trader had simply aligned himself with the market's condition he doubtless would have saved his firm a few billion dollars. It is quite possible even, that he could have maintained at least a part of his earlier $2 billion gain and avoided the $5 billion loss altogether.



     Overlay Tracking of the $5 Billion Natural Gas Trade
              August 16 through September 7, 2006


      Summary Table: Actual Overlays for each day are listed below the table.

  The track:            Market Condition:  End of Day
    August 16      Down trend, 3 nodes, Balancing 3 day 8890 - 8640
    August 17      4 Day balance        8910 - 8640
    August 18      Up trend, balancing  9120 - 8640
    August 21      Balancing            9120 - 8650
    August 22      Balancing            9120 - 8650
    August 23      Balancing            9200 - 8660
    August 24      Balancing            9250 - 8740
    August 25      Balancing            9650 - 8750 (migratory but continuous)
    August 28      Down trend, 3 nodes, Balancing 3 day 9020 - 8840
    August 29      Breakout down        8830
    August 30      Trend down, 3 nodes
    August 31      Trend down, 3 nodes
    September 1    Trend down, 3 nodes
    September 5    Trend down, 1 nodes, 4 day balance  8270 - 8000
    September 6    Balance                             8270 - 7980
    September 7    Trend down, breakout at 7970



              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 16
  Yesterday:
  Today EOD: Down trend, 3 nodes, Balancing

  (Overlay days are: 1 = latest, 2 = next back, and so on with 5 being earliest)

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9450          3   2 55
     9440          1   2 55
     9430          3   2 55
     9420          4   3 555
     9410          4   3 555
     9400          3   3 555
     9390          1   2 55
     9380          1   3 555
     9350          1   3 555
     9320          3   3 555
     9300          4   4 5555        August 16
     9290          3   3 555
     9280          3   5 55555       Prior Down Trend
     9270          1   3 555
     9260          4   4 5555
     9250          5   4 5555
     9240          1   3 555
     9230          1   3 555
     9220          2   2 55
     9180          2   1 4
     9160          1   1 4
     9140          3   1 4
     9120          1   1 4
     9110          2   2 44
     9100          1   2 44
     9080          4   4 4444
     9070          3   4 1444
     9060          7   4 1444
     9050          7   5 14444
     9040          5   4 1444
     9030          2   4 1444
     9010          4   4 1144
     8980          5   3 114
     8960          4   3 111
     8950          2   2 11
     8940          2   2 11
     8900          2   1 1
     8890          4   3 112
     8880          3   3 112
     8870          5   3 112
     8860          6   4 1122
     8850          7   7 1222223
     8820          7   8 11122223
     8810          8  10 1112222233
     8800          8   8 11222233
     8790         12   8 11222333
     8780         10   9 112222333    3 Day Balance 
     8770         11   8 11222333
     8740          2   6 111333
     8730          3   6 111333
     8720          4   6 111333
     8700          7   7 1113333
     8690          2   5 11333
     8670          3   4 1333
     8650          7   5 13333
     8640          5   4 1333
     8630          2   2 33
     8620          1   2 33
     8610          4   1 3
     8600          2   1 3
     8550          3   1 3
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 17

  Yesterday: Dn trend, 3 nodes, Balancing
  Today EOD: 4 Day balance  8910 - 8640

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9180          2   1 5
     9160          1   1 5
     9140          3   1 5
     9120          1   1 5
     9110          2   2 55
     9100          1   2 55
     9080          4   4 5555
     9070          3   4 2555
     9060          7   4 2555
     9050          7   5 25555
     9040          5   4 2555
     9030          2   4 2555
     9010          4   4 2255
     8980          5   3 225
     8960          4   3 222
     8950          3   3 122
     8940          2   2 22
     8920          1   2 11
     8910          4   3 111
     8900         10   5 11112
     8890          9   7 1111223
     8880          5   6 111223
     8870         10   6 111223
     8860          8   6 112233
     8850         13  10 1112333334
     8820         10  10 1122233334
     8810         11  12 112223333344    August 17
     8800         13  10 1122333344
     8790         15  10 1122333444      Balance Region
     8780         16  12 111223333444
     8770         16  11 11122333444
     8740          8   9 111222444
     8730         10   9 111222444
     8720          7   8 11222444
     8700          8   8 12224444
     8690          2   5 22444
     8670          3   4 2444
     8660          5   4 1444
     8650          8   6 124444
     8640          5   4 2444
     8630          2   2 44
     8620          1   2 44
     8610          4   1 4
     8600          2   1 4
     8550          3   1 4
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 18

  Yesterday: 4 Day balance  8910 - 8640
  Today EOD: Up trend, balancing  9120 - 8640

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9300          1   1 1
     9270          2   1 1
     9250          1   1 1
     9240          2   1 1
     9230          1   1 1
     9220         10   2 11
     9210          1   2 11
     9200          9   2 11
     9180          6   2 11
     9150          1   2 11
     9120          1   3 111
     9100          3   5 11111
     9090          4   5 11111
     9080          5   5 11111     August 18
     9070          5   6 111113     
     9060          4   5 11113     Strong up day
     9050          3   4 1113      but closed in balance
     9020          5   4 1133      (single distribution)
     8980          3   5 11133
     8970          2   4 1113
     8960          7   6 111333
     8950         10   7 1111233   
     8940          7   6 111133
     8930          3   4 1111
     8920          7   6 111122
     8910          6   5 11222
     8900         12   7 1122223
     8890          9   7 2222334
     8880          7   9 111222334
     8860          9   9 111223344
     8850         13  10 2223444445
     8820         12  11 12233344445
     8810         12  13 1223334444455
     8800         15  11 12233444455
     8790         15  10 2233444555
     8780         16  12 222334444555
     8770         16  11 22233444555
     8740          8   9 222333555
     8730         10   9 222333555
     8720          7   8 22333555
     8710          6   5 22333
     8700          8   8 23335555
     8690          2   5 33555
     8670          3   4 3555
     8660          5   4 2555
     8650          8   6 235555
     8640          5   4 3555
     8630          2   2 55
     8620          1   2 55
     8610          4   1 5
     8600          2   1 5
     8550          3   1 5
 


              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 21

  Yesterday: Up trend, balancing  9120 - 8640
  Today EOD: Balancing            9120 - 8650

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9300          1   1 2
     9270          2   1 2
     9250          1   1 2
     9240          2   1 2
     9230          1   1 2
     9220         10   2 22
     9210          1   2 22
     9200          9   2 22
     9180          6   2 22
     9150          1   2 22
     9120          1   3 222
     9100          3   5 22222
     9090          4   5 22222      August 21
     9080          5   5 22222
     9070          5   6 222224
     9060          4   5 22224
     8980          3   5 22244      Consolidating
     8960          7   6 222444
     8950         10   7 2222344
     8940          7   6 222244
     8900         17  10 1112233334
     8890         15  11 11113333445
     8880         10  13 1111222333445
     8870         14  10 1111333445
     8860         19  13 1111222334455
     8850         20  13 1111333455555
     8820         13  13 1112334445555
     8810         11  14 11123344455555
     8800         16  11 11233445555
     8780         15  10 1333445555
     8770         15   9 133344555
     8750         10   8 11333444
     8740         11   9 111333444
     8730          9   6 333444
     8720          6   5 33444
     8710          6   5 33444
     8700          6   6 113444
     8660          4   3 113
     8650          4   3 134
     8640          2   2 14
     8630          1   1 1
     8610          1   1 1
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 22
  Yesterday: Balancing            9120 - 8650
  Today EOD: Balancing            9120 - 8650

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9300          1   1 3
     9270          2   1 3
     9250          1   1 3
     9240          2   1 3
     9230          1   1 3
     9220         10   2 33
     9210          1   2 33
     9200          9   2 33
     9180          6   2 33
     9150          1   2 33
     9120          1   3 333
     9100          3   5 33333
     9090          4   5 33333
     9080          5   5 33333
     9070          5   6 333335
     9060          5   6 133335
     9050          4   5 13335
     9020          6   5 13355
     8980          7   8 11133355
     8970          5   8 11113335
     8950         15  12 111113333455
     8940         11  11 11111333355
     8930          4   9 111113333
     8920          9  11 11111333344
     8900         23  17 11111112223344445    August 22
     8890         16  15 111112222444455
     8880         13  17 11111222233344455    Consolidating
     8870         16  13 1111222244455
     8860         18  15 111122223334455
     8850         19  12 111122224445
     8840          6  10 1112223334
     8830          8   8 11222233
     8820         10   9 222344555
     8810         10  10 1222344555
     8800         13   8 12234455
     8780         10   7 1244455
     8770         11   6 244455
     8750         10   8 22444555
     8740         11   9 222444555
     8730          9   6 444555
     8720          6   5 44555
     8710          6   5 44555
     8700          6   6 224555
     8660          4   3 224
     8650          4   3 245
     8640          2   2 25
     8630          1   1 2
     8610          1   1 2
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 23

  Yesterday: Balancing            9120 - 8650
  Today EOD: Balancing            9200 - 8660

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9300          1   1 4
     9270          2   1 4
     9250          1   1 4
     9240          2   1 4
     9230          1   1 4
     9220         10   2 44
     9210          1   2 44
     9200         10   3 144
     9180          8   3 144
     9150          3   4 1144
     9120          5   7 1111444
     9100          8   9 111144444
     9090          7   8 11144444
     9080          8   7 1144444
     9070         11   8 11144444
     9060          7   7 1124444
     8980          7   8 11222444
     8970          5   9 112222444
     8950         14  11 12222244445
     8940          9   9 222224444
     8930          4   9 222224444
     8920          9  11 22222444455
     8900         21  16 2222222333445555      August 23
     8890         13  13 2222233335555
     8880         12  15 222223333444555       Consolidating
     8870         13  11 22223333555
     8860         17  13 2222333344455
     8850         18  11 22223333555
     8840          6  10 2223334445
     8830          8   8 22333344
     8820          8   6 333455
     8810          7   7 2333455
     8800         12   6 233455
     8780          8   5 23555
     8770          6   4 3555
     8750          7   5 33555
     8740         10   6 333555
     8730          7   3 555
     8700          4   3 335
     8660          4   3 335
     8650          2   2 35
     8640          1   1 3
     8630          1   1 3
     8610          1   1 3
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 24

  Yesterday: Balancing            9200 - 8660
  Today EOD: Balancing            9250 - 8740

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9310          2   1 1
     9300          1   1 5
     9270          3   3 115
     9260          2   2 11
     9250          4   4 1115
     9240          8   6 111115
     9230          5   6 111115
     9220         22   7 1111155
     9210         11  10 1111111155
     9200         27  10 1111111255      August 23
     9180         11   7 1111255
     9120          5   7 2222555         Upside thrust new local high
     9100          8   9 222255555
     9090          7   8 22255555
     9080          8   7 2255555
     9070         11   8 22255555
     9060          7   7 2235555
     9050          2   4 3555
     9020          4   5 22355
     9010          2   4 2222
     8990          3   5 22255
     8980          7   8 22333555
     8970          5   9 223333555
     8950         13  10 2333335555
     8940          9   9 333335555
     8930          4   9 333335555
     8920          8   9 333335555
     8900         13  12 333333344455
     8890          8   9 333334444
     8880         10  12 333334444555
     8870          8   8 33334444
     8860         15  11 33334444555
     8850         12   8 33334444
     8840          5   9 333444555
     8830          8   8 33444455
     8820          5   4 4445
     8810          4   5 34445
     8800          7   4 3445
     8740          4   3 444
     8700          3   2 44
     8660          2   2 44
     8650          1   1 4
     8640          1   1 4
     8630          1   1 4
     8610          1   1 4
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 25

  Yesterday: Balancing            9250 - 8740
  Today EOD: Balancing            9650 - 8750 

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9650         27   3 111
     9600         13   3 111
     9550          7   3 111
     9500         14   5 11111
     9450         21   5 11111
     9250         40  10 2222222222    August 25
     9200         32   9 222222233
     9150         14   6 223333        New high, but consolidating
     9100         26   8 33333333
     8950         13   7 3444444
     8900         49  12 444444445555
     8850         28   9 444455555
     8800         10   4 4555
     8750          6   3 555
     8700          5   2 55
     8650          4   1 5
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 28

  Yesterday: Balancing            9650 - 8750 
  Today EOD: Balancing            9250 - 8840

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9670          1   1 2
     9650          1   1 2
     9640          7   3 222
     9630          6   3 222
     9620          4   3 222
     9610          8   3 222
     9600          7   3 222
     9530          4   3 222
     9500          4   3 222
     9480          3   3 222
     9470          3   3 222
     9460          3   4 2222
     9450          7   4 2222
     9440          5   4 2222
     9430          5   3 222
     9410          1   3 222
     9400          3   2 22
     9390          1   1 2
     9310          2   1 3
     9300          2   1 2
     9270          1   2 33
     9260          2   2 33
     9250          3   3 333      ULIM
     9240          6   5 33333
     9230          4   5 33333
     9220         12   5 33333        
     9210         10   8 33333333
     9200         18   8 33333334
     9190          6   5 33333
     9180          5   5 33334
     9150          4   4 3344
     9140          1   3 444
     9130          2   3 444
     9120          4   4 4444
     9110          3   4 4444             August 28
     9100          5   4 4444
     9090          3   3 444              Balance
     9070          8   3 444
     9060          5   3 445
     9020          4   4 1445
     9010          3   6 114444
     9000         13   8 11111444
     8990         11  12 111111111444
     8980         14  14 11111111144555
     8970          8  13 1111111445555
     8950         10  10 1111455555
     8940          7   9 111155555
     8930          8   9 111155555
     8920          5   9 111155555
     8900         11  10 1115555555
     8880          7   7 1155555
     8870          4   4 5555
     8860          4   4 5555
     8850          4   4 5555
     8840          1   3 555     LLIM
     8830          3   2 55
     8810          1   1 5
     8800          3   1 5
     8790          2   1 5
     8780          1   1 5
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 29

  Yesterday: Balancing            9250 - 8840 
  Today EOD: Breakout down        8830

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9670          1   1 3
     9650          1   1 3
     9640          7   3 333
     9630          6   3 333
     9620          4   3 333
     9610          8   3 333
     9600          7   3 333
     9530          4   3 333
     9500          4   3 333
     9480          3   3 333
     9470          3   3 333
     9460          3   4 3333
     9450          7   4 3333
     9440          5   4 3333
     9430          5   3 333
     9410          1   3 333
     9400          3   2 33
     9380          9   3 333
     9310          2   1 4
     9300          2   1 3
     9270          1   2 44
     9260          2   2 44
     9250          3   3 444
     9240          6   5 44444
     9230          4   5 44444
     9220         12   5 44444
     9210         10   8 44444444
     9200         18   8 44444445
     9190          6   5 44444
     9180          5   5 44445
     9150          4   4 4455
     9140          1   3 555
     9130          2   3 555
     9120          4   4 5555
     9110          3   4 5555
     9100          5   4 5555
     9090          3   3 555
     9070          8   3 555
     9060          4   2 55
     9050          1   1 2
     9020          3   3 255
     9010          3   6 225555
     9000         13   8 22222555
     8990         11  12 222222222555
     8980         10  11 22222222255
     8970          5   9 222222255
     8960          5   7 2222255
     8950          5   5 22225
     8940          3   4 2222
     8930          8   5 12222
     8920          3   4 2222
     8910          4   4 2222
     8900          5   3 222
     8880          2   2 22
     8810          1   1 1
     8800          2   1 1
     8780          1   2 11
     8750          5   6 111111
     8720          2   4 1111       Breakout
     8710          1   4 1111
     8700          6   6 111111
     8690          5   7 1111111
     8680          8   7 1111111
     8670          8   7 1111111
     8660          5   5 11111
     8650          5   4 1111
     8640          5   2 11
     8630          4   2 11
     8620          3   2 11
     8610          2   1 1
     8600          2   1 1
     8570          1   1 1
     8550          1   1 1
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 30

  Yesterday: Breakout down        8830
  Today EOD: Trend down, 3 nodes

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9670          1   1 4
     9650          1   1 4
     9640          7   3 444
     9630          6   3 444
     9620          4   3 444
     9610          8   3 444
     9600          7   3 444
     9530          4   3 444
     9500          4   3 444
     9480          3   3 444
     9470          3   3 444
     9460          3   4 4444
     9450          7   4 4444
     9440          5   4 4444
     9430          5   3 444
     9410          1   3 444
     9400          3   2 44
     9380          9   3 444
     9310          2   1 5
     9300          2   1 54
     9270          1   2 55
     9260          2   2 55
     9250          3   3 555
     9240          6   5 55555
     9230          4   5 55555
     9220         12   5 55555
     9210         10   8 55555555
     9200         17   7 5555555
     9190          6   5 55555
     9180          3   4 5555
     9150          2   2 55
     9050          1   1 3
     9020          2   1 3
     9010          1   2 33
     9000          8   5 33333
     8990          9   9 333333333
     8980          8   9 333333333
     8970          4   7 3333333
     8960          4   5 33333
     8950          4   4 3333
     8940          3   4 3333
     8930          8   5 23333
     8920          3   4 3333
     8910          4   4 3333
     8900          5   3 333
     8880          2   2 33
     8810          1   1 2          Breakout Aug 29
     8800          2   1 2
     8780          1   2 22
     8750          5   6 222222
     8720          2   4 2222
     8710          1   4 2222
     8700          6   6 222222
     8690          5   7 2222222
     8680          8   7 2222222
     8670          8   7 2222222
     8660          5   5 22222
     8650          5   4 2222
     8640          5   2 22
     8630          4   2 22
     8620          3   2 22
     8610          2   1 2
     8600          2   1 2
     8570          1   1 2
     8550          1   1 2
     8480          1   1 1
     8440          5   4 1111
     8430          4   4 1111
     8420         11   7 1111111
     8410         10   6 111111
     8400          9   7 1111111
     8390          8   6 111111
     8380          9   6 111111
     8370          8   6 111111
     8360          9   6 111111
     8350          6   4 1111
     8340          1   3 111
     8330          2   3 111
     8320          3   3 111
     8310          1   2 11
     8300          5   2 11
     8260         10   3 111
     8250          4   3 111
     8240          8   3 111
     8230          3   1 1
     8220          1   1 1
 

              The CISCO Five Day Overlay* display 
                Natural Gas Nov 2006  August 31
  Yesterday: Trend down, 2 nodes
  Today EOD: Trend down, 3 nodes

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9670          1   1 5
     9650          1   1 5
     9640          7   3 555
     9630          6   3 555
     9620          4   3 555
     9610          8   3 555
     9600          7   3 555
     9530          4   3 555
     9500          4   3 555
     9480          3   3 555
     9470          3   3 555
     9460          3   4 5555
     9450          7   4 5555
     9440          5   4 5555
     9430          5   3 555
     9410          1   3 555
     9400          3   2 55
     9380          9   3 555
     9300          2   1 5
     9050          1   1 4
     9020          2   1 4
     9010          1   2 44
     9000          8   5 44444
     8990          9   9 444444444
     8980          8   9 444444444
     8970          4   7 4444444
     8960          4   5 44444
     8950          4   4 4444
     8940          3   4 4444
     8930          8   5 34444
     8920          3   4 4444
     8910          4   4 4444
     8900          5   3 444
     8880          2   2 44
     8810          1   1 3          Breakout Aug 29
     8800          2   1 3
     8780          1   2 33
     8750          5   6 333333
     8720          2   4 3333
     8710          1   4 3333
     8700          6   6 333333
     8690          5   7 3333333
     8680          8   7 3333333
     8670          8   7 3333333
     8660          5   5 33333
     8650          5   4 3333
     8640          5   2 33
     8630          4   2 33
     8620          3   2 33
     8610          2   1 3
     8600          2   1 3
     8570          1   1 3
     8550          1   1 3
     8480          1   1 2
     8440          5   4 2222
     8430          4   4 2222
     8420         11   7 2222222
     8410         10   6 222222
     8400          9   7 2222222
     8390          8   6 222222
     8380          9   6 222222
     8370          8   6 222222
     8360          9   6 222222
     8350          6   4 2222
     8340          1   3 222
     8330          2   3 222
     8320          3   3 222
     8300          6   3 122
     8280          3   2 11
     8270          7   4 1112
     8260         20   7 1111222
     8250         12   7 1111222
     8240         14   7 1111222
     8230         14   9 111111112
     8220         10   7 1111112
     8210          3   6 111111
     8200         14   9 111111111
     8190          7   7 1111111
     8180          6   6 111111
     8170          7   6 111111
     8160          4   2 11
     8150          5   2 11
     8140          3   1 1
     8130          3   1 1
     8120          5   1 1
     8100          2   1 1
 

              The CISCO Five Day Overlay* display 
               Natural Gas Nov 2006  September 1
  Yesterday: Trend down, 3 nodes
  Today EOD: Trend down, 3 nodes

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     9050          1   1 5
     9020          2   1 5
     9010          1   2 55
     9000          8   5 55555
     8990          9   9 555555555
     8980          8   9 555555555
     8970          4   7 5555555
     8960          4   5 55555
     8950          4   4 5555
     8940          3   4 5555
     8930          8   5 45555
     8920          3   4 5555
     8910          4   4 5555
     8900          5   3 555
     8880          2   2 55
     8810          1   1 4       Breakout  Aug 29
     8800          2   1 4
     8780          1   2 44
     8750          5   6 444444
     8720          2   4 4444
     8710          1   4 4444
     8700          6   6 444444
     8690          5   7 4444444
     8680          8   7 4444444
     8670          8   7 4444444
     8660          5   5 44444
     8650          5   4 4444
     8640          5   2 44
     8630          4   2 44
     8620          3   2 44
     8610          2   1 4
     8600          2   1 4
     8570          1   1 4
     8550          1   1 4
     8480          1   1 3
     8440          5   4 3333
     8430          4   4 3333
     8420         11   7 3333333
     8410         10   6 333333
     8400          9   7 3333333
     8390          8   6 333333
     8380          9   6 333333
     8370          8   6 333333
     8360          9   6 333333
     8350          6   4 3333
     8340          1   3 333
     8330          2   3 333
     8320          3   3 333
     8300          6   3 233
     8280          3   2 22
     8270          7   4 2223
     8260         20   7 2222333
     8250         12   7 2222333
     8240         14   7 2222333
     8230         14   9 222222223
     8220         10   7 2222223
     8210          4   7 1222222
     8200         14   9 222222222
     8190          7   7 2222222
     8180          6   6 222222
     8170          8   7 1222222
     8160          7   4 1122
     8150          8   4 1122
     8140          7   4 1112
     8130         11   6 111112
     8120          8   6 111112
     8110          5   6 111111
     8100         11   7 1111112
     8090          6   5 11111
     8080          7   5 11111
     8070          6   5 11111
     8060         12   6 111111
     8050          5   4 1111
     8040          3   3 111
     8030          9   3 111
     8020          9   1 1
     8010          5   1 1
     8000          5   1 1
 

              The CISCO Five Day Overlay* display 
               Natural Gas Nov 2006  September 5

  Yesterday: Trend down, 3 nodes
  Today EOD: Trend down, 1 node, 4 day balance  8270 - 8000

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     8480          1   1 5
     8440          5   4 5555
     8430          4   4 5555
     8420         11   7 5555555
     8410         10   6 555555
     8400          9   7 5555555
     8390          8   6 555555
     8380          9   6 555555
     8370          8   6 555555
     8360          9   6 555555
     8350          6   4 5555
     8340          1   3 555
     8330          2   3 555
     8320          3   3 555
     8310          1   2 55
     8300          6   3 455
     8280          3   2 44
     8270          7   4 4445       Upper Limit
     8260         20   7 4444555
     8250         12   7 4444555
     8240         14   7 4444555
     8230         14   9 444444445
     8220         10   7 4444445
     8210          4   7 3444444
     8200         14   9 444444444
     8190          7   7 4444444
     8180          6   6 444444
     8170          8   7 3444444
     8160          8   5 13344
     8150         17   6 113344
     8140         10   6 113334
     8130         19   8 11333334
     8120         18  11 11111333334
     8110         20  11 11111333333
     8100         21  12 111113333334
     8090         22  11 11111133333
     8080         29  13 1111111133333
     8070         28  14 11111111133333
     8060         38  14 11111111333333
     8050         37  10 1111113333
     8040         17   9 111111333
     8030         28   7 1111333
     8020         28   4 1113
     8010         21   4 1113
     8000         17   4 1113       Lower Limit
     7990          1   2 11
     7980          3   2 11
     7970          1   1 1
     7900          2   1 2
 

              The CISCO Five Day Overlay* display 
               Natural Gas Nov 2006  September 6

  Yesterday: Trend down, 1 node, 4 day balance  8270 - 8000
  Today EOD: Balance                            8270 - 7980

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     8300          1   1 5
     8280          3   2 55
     8270          6   3 555    Upper limit
     8260         10   4 5555
     8250          8   4 5555
     8240          6   4 5555
     8230         11   8 55555555
     8220          9   6 555555
     8210          4   7 4555555
     8200         14   9 555555555
     8190          7   7 5555555
     8180          6   6 555555
     8170          8   7 4555555
     8160          8   5 24455
     8150         17   6 224455                 September 6
     8140         10   6 224445
     8130         19   8 22444445               Balancing
     8120         22  13 1122222444445
     8110         30  14 11122222444444
     8100         40  16 1111222224444445
     8090         49  16 1111122222244444
     8080         60  20 11111112222222244444
     8070         58  20 11111122222222244444
     8060         73  20 11111122222222444444
     8050         68  17 11111112222224444
     8040         43  16 1111111222222444
     8030         51  12 111112222444
     8020         53  10 1111112224
     8010         32   9 111112224
     8000         18   7 1112224
     7990          4   4 1122
     7980          9   4 1122          Lower Limit
     7970          5   2 12
     7900          2   1 3
 

              The CISCO Five Day Overlay* display 
               Natural Gas Nov 2006  September 7

  Yesterday: Balance                           8270 - 7980
  Today EOD: Trend down, breakout at 7970

 VOL DETAIL  VOL   HITS  1=NEAR, 2=NEXT BK,...
     8210          1   1 5
     8170          1   1 5
     8160          4   3 355
     8150         12   4 3355
     8140          7   5 33555
     8130         16   7 3355555
     8120         17  12 223333355555
     8110         30  14 22233333555555
     8100         38  15 222233333555555
     8090         49  16 2222233333355555
     8080         60  20 22222223333333355555
     8070         58  20 22222233333333355555
     8060         73  20 22222233333333555555
     8050         68  17 22222223333335555
     8040         43  16 2222222333333555
     8030         51  12 222223333555
     8020         53  10 2222223335
     8010         32   9 222223335
     8000         18   7 2223335
     7990          4   4 2233       September 7
     7980          9   4 2233
     7970          5   2 23         Breakout down
     7900          2   1 4
     7890          1   1 1
     7880          2   1 1
     7870          4   1 1
     7860         13   1 1
     7850         13   1 1
     7840         11   1 1
     7830         19   2 11
     7820         19   4 1111
     7810         15   5 11111
     7800         33   4 1111
     7790         32   4 1111
     7780         24   4 1111
     7770         13   4 1111
     7760          3   3 111
     7750         10   3 111
     7740         13   2 11
     7730          9   2 11
     7720          5   1 1
     7710          3   1 1
     7700          8   2 11
     7690         12   2 11
     7680         12   4 1111
     7670         22   3 111
     7660         41   3 111
     7650         27   3 111
     7640         18   3 111
     7630         19   4 1111
     7620         26   4 1111
     7610         19   4 1111
     7600         19   2 11
     7590         10   2 11
     7580          9   2 11
     7570          2   1 1
     7560          2   1 1
 

* Overlay is a Trademark of CISCO