CISCO Futures
1-303-306-1521 1-800 800 7227 Fax 1-303-306-1572
Internet http//www.cisco-futures.com
Email dljones@cisco-futures.com
Sample of Long Term Value Levels
US T-bonds, 1997 (252 days)
Two graphics of volume are included. The first, an Overlay Demand Curve
of volume plots the cumulative volume for each price traded throughout
the entire period (252 days, in this case). This graphic, "LONG TERM
VOLUME OVERLAY", shows the preferred price levels as measured by total
volume.
The second graphic, "LONG TERM PRICE ROTATION PROFILE", lists the
price levels as determined by the number of days that price traded at least
once.
LONG TERM VOLUME OVERLAY *
MAR 87 T-BOND (CBOT) DAY
01 02 97 TO 12 31 97
COMBINED VOLUME PLOT. NORMALIZED TO MAXIMUM
PRICE VOLUME DYS TPO VOLUME(PEAK VOLUME=50)
12108 97608 2 4 X
12100 415852 3 15 XXX
12024 834286 6 33 XXXXXX
12016 359628 4 7 XX
12008 752226 6 22 XXXXX
12000 1299520 7 25 XXXXXXXXXX
11924 1148794 5 20 XXXXXXXXX
11916 1113882 6 23 XXXXXXXX
11908 1687522 8 29 XXXXXXXXXXXXX
11900 2497762 13 55 XXXXXXXXXXXXXXXXXXX (1)
11824 2201032 11 47 XXXXXXXXXXXXXXXXX
11816 1757934 12 36 XXXXXXXXXXXXX
11808 2947426 12 59 XXXXXXXXXXXXXXXXXXXXXXX
11800 3350632 13 54 XXXXXXXXXXXXXXXXXXXXXXXXXX (2)
11724 3013754 12 58 XXXXXXXXXXXXXXXXXXXXXXX
11716 2398178 13 55 XXXXXXXXXXXXXXXXXX
11708 3003696 9 45 XXXXXXXXXXXXXXXXXXXXXXX (3)
11700 1814874 8 21 XXXXXXXXXXXXXX
11624 1459080 9 31 XXXXXXXXXXX
11616 2111622 9 35 XXXXXXXXXXXXXXXX
11608 2888328 11 42 XXXXXXXXXXXXXXXXXXXXXX (4?)
11600 2553968 12 40 XXXXXXXXXXXXXXXXXXXX
11524 3424512 17 72 XXXXXXXXXXXXXXXXXXXXXXXXXX
11516 4249908 18 89 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
11508 4489482 16 61 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX (5)
11500 3503664 14 62 XXXXXXXXXXXXXXXXXXXXXXXXXXX
11424 3155078 12 46 XXXXXXXXXXXXXXXXXXXXXXXX
11416 2353190 9 34 XXXXXXXXXXXXXXXXXX
11408 1916088 10 48 XXXXXXXXXXXXXXX
11400 2709514 12 56 XXXXXXXXXXXXXXXXXXXXX
11324 3625302 17 73 XXXXXXXXXXXXXXXXXXXXXXXXXXXX
11316 2917674 14 45 XXXXXXXXXXXXXXXXXXXXXX (6?)
11308 3700328 18 73 XXXXXXXXXXXXXXXXXXXXXXXXXXXXX
11300 3146968 17 49 XXXXXXXXXXXXXXXXXXXXXXXX
11224 4604846 25 101 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
11216 5976788 27 127 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX (7)
11208 3548988 24 54 XXXXXXXXXXXXXXXXXXXXXXXXXXX
11200 3841262 19 80 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
11124 3371610 13 53 XXXXXXXXXXXXXXXXXXXXXXXXXX
11116 2928614 19 70 XXXXXXXXXXXXXXXXXXXXXX
11108 4676718 19 77 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX (8)
11100 3808648 20 77 XXXXXXXXXXXXXXXXXXXXXXXXXXXXX
11024 3711896 18 53 XXXXXXXXXXXXXXXXXXXXXXXXXXXXX
11016 3033374 19 65 XXXXXXXXXXXXXXXXXXXXXXX
11008 3687008 23 98 XXXXXXXXXXXXXXXXXXXXXXXXXXXX
11000 6349730 30 143 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
10924 6373704 27 108 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX (9)
10916 4499568 16 64 XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
10908 2541540 12 51 XXXXXXXXXXXXXXXXXXX
10900 2114670 12 28 XXXXXXXXXXXXXXXX
10824 2357578 16 81 XXXXXXXXXXXXXXXXXX
10816 3201440 12 56 XXXXXXXXXXXXXXXXXXXXXXXXX (10)
10808 1546314 8 16 XXXXXXXXXXXX
10800 1298840 8 30 XXXXXXXXXX
10724 1871372 13 37 XXXXXXXXXXXXXX
10716 3088982 14 72 XXXXXXXXXXXXXXXXXXXXXXXX (11)
10708 2836706 14 59 XXXXXXXXXXXXXXXXXXXXXX
10700 2009210 7 21 XXXXXXXXXXXXXXX
10624 480606 3 3 XXX
10616 768808 1 11 XXXXXX
Legend: PRICE = In trading fractions
VOLUME = Cleared volume per side (divide by 2 for contracts)
DYS = Number of days traded at that price
TPO = Number of half-hour TPO periods traded at that price
VOLUME(PEAK VOLUME = 50) = Pictorial extension of the VOLUME column
LONG TERM PRICE ROTATION PROFILE *
MAR 87 T-BOND (CBOT) DAY
01 02 97 TO 12 31 97
PRICE NUMDYS NUMTPO L/F DAY SYMBOL
12108 2 4 24
12100 3 15 234
12024 6 33 234567 (A)
12016 4 7 9 1679
12008 6 22 9 WXY189
12000 7 25 9 WXYZ189
11924 5 20 QVWZ8
11916 6 23 GHPQVZ
11908 8 29 GHIKNPQV
11900 13 55 DFGHIJKLMNORV (B)
11824 11 47 rCDEFIJKLRS
11816 12 36 brtuzCDEIRSU
11808 12 59 brtuzBCERSTU
11800 13 54 brtuwyzBCERST
11724 12 58 bersuvwyzABR
11716 13 55 bcdeqrsvwxyAR
11708 9 45 bcdeqrswx
11700 8 21 bcdepqrs
11624 9 31 UVabeopqr
11616 9 35 TUV9abeop
11608 11 42 TUV49abejop
11600 12 40 VM2459beijop
11524 17 72 SVLM1345689efghij
11516 18 89 OPQSVLM145678fghij (C)
11508 16 61 NOPQRVKL18fgijkn
11500 14 62 KNQRVWZKfgklmn
11424 12 46 JKNVWYZKfgkl
11416 9 34 JLNWXYZKk
11408 10 48 wGJLNZ789K
11400 12 56 vwxEGHIM789K
11324 17 73 vwxCDEFGI15679NDK
11316 14 45 xyCDFI1456NTDK (D)
11308 18 73 uyBCI13456NSTABDIJ
11300 17 49 quyzB12346STABCDI
11224 25 101 1 1qtuzABCsB1234OQRSTACDEFI
11216 27 127 1 1oqrstuABCsB1234OPQRSTADFGI (E)
11208 24 54 1 1noqrtCpqrstuvB14OQRSAHI
11200 19 80 1 12mnopqCnopqruvA4QH
11124 13 53 1 12bempCnpqvzA
11116 19 70 1 123467abdelmCmnwxyz
11108 19 77 1 1345679abdelCimwxyz
11100 20 77 45679abcdefilCDijmyz
11024 18 53 45679bcdfiklDijkmy
11016 19 65 6789bdgijklDEM12ikl
11008 23 98 678dghijkEGJKLGLM12346i
11000 30 143 7ghijFGHIJKLMGHILM1234567efghi (F)
10924 27 108 hjFHIJLMVFGHIJKL13567defghi
10916 16 64 jIJNVEFGJK367dei
10908 12 51 JNOVEFJK789d
10900 12 28 JNORUVDEK8ad
10824 16 81 JNOPQRSTUVWDEabc (G)
10816 12 56 NPQRSTWXDEbc
10808 8 16 PQSWXTDb
10800 8 30 SXPQRSTD
10724 13 37 X2356NPQRSTAD
10716 14 72 XYZ1234568NOAD (H)
10708 14 59 YZ134578NOABCD
10700 7 21 Z38NOBC
10624 3 3 389
10616 1 11 8
Legend: PRICE = In trading fractions
NUMDYS = Number of days traded at that price
NUMTPO = Number of half-hour TPO periods traded at that price
L/F = L = Earliest day traded, Jan 1, 1997; symbol = 1
F = Latest day traded, Dec 31, 1997; symbol = 9
Symbol order L to F: 1, 2,...,9, a, b,...,z, A, B,..., Z, 1, 2,...9,
N, O, P, Q, R, S, T, A, B,..., M, 1, 2,..., 9,
a, b,..., z, A, B,..., Z, 1, 2,..., 9,
N, O, P, Q, R, S, T, A, B,..., M, 1, 2,..., 9,
a, b,..., z, A, B,..., Z, 1, 2,..., 9,
COPYRIGHT CISCO 1987. ALL RIGHTS RESERVED.
* REGISTERED TRADEMARK OF CISCO