Quantitative Index Futures Analytics

July 27, 2007

Index Futures for Monday

Filed under: Index Futures — Quant Trader @ 3:54 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1496.50    1457.25    1458.00  -30.00   39.25  -2.06  2.69  78  -11
Support and Resistance  Levels
S1   1451.33 S2  1444.67 S3  1438.00 S4  1431.33 S2 Prob   46.1  S4 Prob  22.2
R1   1470.96 R2  1483.92 R3  1496.88 R4  1509.83 R2 Prob   46.1  R4 Prob  16.5
Prj Lo   1450.72   Prob %  53.0  Prj Hi  1464.90  Prob %   60.0
5D EMA   1499.33     20D EMA   1524.67
Prj MBI/DIF OB/OS  IT OS       1458.00

Projected DIF Reversal Price   1509.83 Buy Prob%  50.7   Prob % Valid Buy 55.8

MBI       78   DIF     -11

Hugely ST/IT OS MBI/Dif and RSI’s.

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2012.50    1960.75    1963.50  -37.00   51.75  -1.88  2.64  90  -14
Support and Resistance  Levels
S1   1954.42 S2  1945.33 S3  1936.25 S4  1927.17 S2 Prob   44.9  S4 Prob  18.1
R1   1980.29 R2  1997.08 R3  2013.88 R4  2030.67 R2 Prob   46.5  R4 Prob  22.8
Prj Lo   1946.44   Prob %  34.6  Prj Hi  1978.12  Prob %   37.0
5D EMA   2005.00     20D EMA   2007.83
Prj MBI/DIF OB/OS  ST OS       1963.50

Projected DIF Reversal Price   2030.67 Buy Prob%  55.4   Prob % Valid Buy 39.0

MBI       90   DIF     -14
Hugely ST/OS Dif and 5 RSI.

July 26, 2007

Index Futures for Friday

Filed under: Index Futures — Quant Trader @ 3:56 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1529.50    1471.00    1488.00  -36.75   58.50  -2.47  3.93  83  -11
Support and Resistance  Levels
S1   1475.42 S2  1462.83 S3  1450.25 S4  1437.67 S2 Prob   45.9  S4 Prob  22.3
R1   1504.67 R2  1521.33 R3  1538.00 R4  1554.67 R2 Prob   46.3  R4 Prob  16.6
Prj Lo   1480.70   Prob %  52.8  Prj Hi  1494.83  Prob %   59.8
5D EMA   1520.00     20D EMA   1531.68
Prj MBI/DIF OB/OS  IT OS       1488.00

SPU is IT/OS and hugely ST/OS but ….

Projected DIF Reversal Price   1554.67 Buy Prob%  50.7   Prob % Valid Buy 55.8

MBI       83   DIF     -11
Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2039.50    1969.25    2000.50  -26.00   70.25  -1.30  3.51  99  -12
Support and Resistance  Levels
S1   1983.58 S2  1966.67 S3  1949.75 S4  1932.83 S2 Prob   44.4  S4 Prob  18.3
R1   2018.71 R2  2036.92 R3  2055.13 R4  2073.33 R2 Prob   46.8  R4 Prob  23.0
Prj Lo   1983.34   Prob %  34.1  Prj Hi  2014.88  Prob %   37.3
5D EMA   2025.76     20D EMA   2012.49
Prj MBI/DIF OB/OS  ST OS       2000.50

Projected DIF Reversal Price   2073.33 Buy Prob%  55.4   Prob % Valid Buy 39.0

MBI       99   DIF     -12

NDU is only very ST/OS

July 25, 2007

Index Futures for Thursday

Filed under: Index Futures — Quant Trader @ 3:39 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1532.25    1510.50    1524.75    2.25   21.75   0.15  1.43  92   -7
Support and Resistance  Levels
S1   1518.75 S2  1512.75 S3  1506.75 S4  1500.75 S2 Prob   45.6  S4 Prob  21.9
R1   1529.63 R2  1534.50 R3  1539.38 R4  1544.25 R2 Prob   46.5  R4 Prob  16.7
Prj Lo   1517.47   Prob %  52.6  Prj Hi  1531.51  Prob %   60.1
5D EMA   1536.01     20D EMA   1536.28
Prj MBI/DIF OB/OS  ST OS       1519.75

Projected DIF Reversal Price   1538.75 Buy Prob%  50.7   Prob % Valid Buy 55.8

MBI       92   DIF      -7
Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2036.00    2010.75    2026.50    1.00   25.25   0.05  1.25 107   -9
Support and Resistance  Levels
S1   2019.67 S2  2012.83 S3  2006.00 S4  1999.17 S2 Prob   44.0  S4 Prob  17.6
R1   2032.29 R2  2038.08 R3  2043.87 R4  2049.67 R2 Prob   46.4  R4 Prob  23.2
Prj Lo   2009.44   Prob %  33.6  Prj Hi  2040.70  Prob %   37.6
5D EMA   2038.40     20D EMA   2013.76
Prj MBI/DIF OB/OS  ST OS       2021.50

Projected DIF Reversal Price   2041.50 Buy Prob%  55.4   Prob % Valid Buy 39.0

MBI      107   DIF      -9

July 24, 2007

Index Futures for Wednesday

Filed under: Index Futures — Quant Trader @ 3:41 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1551.75    1516.50    1522.50  -22.50   35.25  -1.48  2.32  91  -11
Support and Resistance  Levels
S1   1515.63 S2  1508.75 S3  1501.88 S4  1495.00 S2 Prob   45.8  S4 Prob  22.0
R1   1533.25 R2  1544.00 R3  1554.75 R4  1565.50 R2 Prob   46.7  R4 Prob  16.7
Prj Lo   1515.24   Prob %  52.4  Prj Hi  1529.25  Prob %   59.9
5D EMA   1541.65     20D EMA   1537.49
Prj MBI/DIF OB/OS  ST OS       1517.00

Projected DIF Reversal Price   1571.00 Buy Prob%  50.7   Prob % Valid Buy 55.8

MBI       91   DIF     -11
Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2054.25    2011.00    2025.50  -27.75   43.25  -1.37  2.14 108  -12
Support and Resistance  Levels
S1   2015.88 S2  2006.25 S3  1996.63 S4  1987.00 S2 Prob   44.4  S4 Prob  17.7
R1   2037.50 R2  2049.50 R3  2061.50 R4  2073.50 R2 Prob   46.8  R4 Prob  23.4
Prj Lo   2008.43   Prob %  33.9  Prj Hi  2039.74  Prob %   37.9
5D EMA   2044.35     20D EMA   2012.42
Prj MBI/DIF OB/OS  ST OS       2025.00

Projected DIF Reversal Price   2073.50 Buy Prob%  55.4   Prob % Valid Buy 39.0

MBI      108   DIF     -12

Index Futures for Tuesday

Filed under: Index Futures — Quant Trader @ 6:48 am

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1561.75    1537.25    1545.00  -14.75   24.50  -0.95  1.59  99   -8
Support and Resistance  Levels
S1   1546.17 S2  1534.25 S3  1540.00 S4  1523.50 S2 Prob   45.6  S4 Prob  21.7
R1   1552.54 R2  1558.75 R3  1559.13 R4  1572.50 R2 Prob   46.9  R4 Prob  16.8
Prj Lo   1541.98   Prob %  52.2  Prj Hi  1555.96  Prob %   60.2
5D EMA   1551.22     20D EMA   1539.07
Prj MBI/DIF OB/OS  ST OS       1540.50

Projected DIF Reversal Price   1557.50 Buy Prob%  50.7   Prob % Valid Buy 55.8

MBI       99   DIF      -8
Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2063.00    2047.00    2053.25   -2.00   16.00  -0.10  0.78 120   -6
Support and Resistance  Levels
S1   2049.54 S2  2045.83 S3  2042.13 S4  2038.42 S2 Prob   43.9  S4 Prob  17.1
R1   2057.54 R2  2061.83 R3  2066.13 R4  2070.42 R2 Prob   47.2  R4 Prob  23.6
Prj Lo   2036.16   Prob %  33.3  Prj Hi  2067.38  Prob %   38.2
5D EMA   2053.77     20D EMA   2011.04
Prj MBI/DIF OB/OS  IT OB       2057.62

Projected DIF Reversal Price   2065.75 Buy Prob%  55.4   Prob % Valid Buy 39.0

MBI      120   DIF      -6

July 20, 2007

Index Futures for Monday

Filed under: Index Futures — Quant Trader @ 3:40 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1561.75    1537.25    1545.00  -14.75   24.50  -0.95  1.59  99   -8
Support and Resistance  Levels
S1   1539.63 S2  1534.25 S3  1528.88 S4  1523.50 S2 Prob   45.8  S4 Prob  21.8
R1   1551.88 R2  1558.75 R3  1565.63 R4  1572.50 R2 Prob   47.1  R4 Prob  16.9
Prj Lo   1537.73   Prob %  52.4  Prj Hi  1551.71  Prob %   60.0
5D EMA   1552.21     20D EMA   1538.00
Prj MBI/DIF OB/OS  ST OS       1540.50

Projected DIF Reversal Price   1557.50 Buy Prob%  50.7   Prob % Valid Buy 55.8

MBI       99   DIF      -8
Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2065.50    2040.00    2055.25  -10.25   25.50  -0.50  1.24 123   -6
Support and Resistance  Levels
S1   2048.46 S2  2041.67 S3  2034.87 S4  2028.08 S2 Prob   44.3  S4 Prob  17.2
R1   2061.21 R2  2067.17 R3  2073.13 R4  2079.08 R2 Prob   47.5  R4 Prob  23.8
Prj Lo   2038.08   Prob %  33.6  Prj Hi  2069.42  Prob %   38.5
5D EMA   2054.04     20D EMA   2006.60
Prj MBI/DIF OB/OS  IT OB       2055.25

Projected DIF Reversal Price   2069.75 Buy Prob%  55.4   Prob % Valid Buy 39.0

MBI      123   DIF      -6

July 19, 2007

Index Futures for Friday

Filed under: Index Futures — Quant Trader @ 3:52 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1565.00    1548.50    1559.75    5.00   16.50   0.32  1.06 109   -1
Support and Resistance  Levels
S1   1555.13 S2  1550.50 S3  1545.88 S4  1541.25 S2 Prob   45.5  S4 Prob  21.4
R1   1563.38 R2  1567.00 R3  1570.63 R4  1574.25 R2 Prob   47.3  R4 Prob  17.0
Prj Lo   1552.48   Prob %  52.2  Prj Hi  1566.43  Prob %   60.3
5D EMA   1555.81     20D EMA   1537.26
Prj MBI/DIF OB/OS  None           0.00

Projected DIF Reversal Price   1563.25 Buy Prob%  50.7   Prob % Valid Buy 55.8

MBI      109   DIF      -1
Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2077.75    2054.25    2065.50    5.75   23.50   0.28  1.14 134    3
Support and Resistance  Levels
S1   2059.71 S2  2053.92 S3  2048.13 S4  2042.33 S2 Prob   43.8  S4 Prob  16.5
R1   2071.46 R2  2077.42 R3  2083.38 R4  2089.33 R2 Prob   47.9  R4 Prob  24.0
Prj Lo   2048.32   Prob %  33.1  Prj Hi  2079.69  Prob %   38.8
5D EMA   2053.43     20D EMA   2001.48
Prj MBI/DIF OB/OS  IT OB       2065.50

Projected DIF Reversal Price   2065.00 Sell Prob% 43.8   Prob % Valid 43.8

MBI      134   DIF       3

July 18, 2007

Index Futures for Thursday

Filed under: Index Futures — Quant Trader @ 3:36 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1558.00    1542.50    1554.75   -4.00   15.50  -0.26  1.00 104   -6
Support and Resistance  Levels
S1   1550.13 S2  1545.50 S3  1540.88 S4  1536.25 S2 Prob   45.7  S4 Prob  21.5
R1   1557.88 R2  1561.00 R3  1564.13 R4  1567.25 R2 Prob   47.1  R4 Prob  17.0
Prj Lo   1547.49   Prob %  52.5  Prj Hi  1561.44  Prob %   60.1
5D EMA   1553.84     20D EMA   1534.90
Prj MBI/DIF OB/OS  ST OS       1551.25

Projected DIF Reversal Price   1565.25 Buy Prob%  50.7   Prob % Valid Buy 55.8

MBI      104   DIF      -6
Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2060.50    2036.00    2059.75   -1.00   24.50  -0.05  1.19 129    0
Support and Resistance  Levels
S1   2051.71 S2  2043.67 S3  2035.62 S4  2027.58 S2 Prob   44.2  S4 Prob  16.7
R1   2063.96 R2  2068.17 R3  2072.38 R4  2076.58 R2 Prob   47.5  R4 Prob  23.3
Prj Lo   2042.52   Prob %  33.3  Prj Hi  2073.96  Prob %   38.3
5D EMA   2047.39     20D EMA   1994.74
Prj MBI/DIF OB/OS  IT OB       2059.75

Projected DIF Reversal Price   2059.25 Sell Prob% 43.1   Prob % Valid 45.2

MBI      129   DIF       0

July 17, 2007

Index Futures for Wednesday

Filed under: Index Futures — Quant Trader @ 3:45 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1565.50    1555.00    1558.75   -1.00   10.50  -0.06  0.67 111   -1
Support and Resistance  Levels
S1   1556.38 S2  1554.00 S3  1551.63 S4  1549.25 S2 Prob   45.5  S4 Prob  21.2
R1   1561.63 R2  1564.50 R3  1567.38 R4  1570.25 R2 Prob   47.3  R4 Prob  17.1
Prj Lo   1551.50   Prob %  52.3  Prj Hi  1565.44  Prob %   60.4
5D EMA   1553.38     20D EMA   1532.81
Prj MBI/DIF OB/OS  IT OB       1577.80

Projected DIF Reversal Price   1562.75 Buy Prob%  50.7   Prob % Valid Buy 55.8

MBI      111   DIF      -1
Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2064.25    2041.25    2060.75   12.25   23.00   0.59  1.12 133    4
Support and Resistance  Levels
S1   2053.67 S2  2046.58 S3  2039.50 S4  2032.42 S2 Prob   43.7  S4 Prob  16.8
R1   2065.17 R2  2069.58 R3  2074.00 R4  2078.42 R2 Prob   47.9  R4 Prob  23.5
Prj Lo   2043.57   Prob %  32.8  Prj Hi  2075.06  Prob %   38.7
5D EMA   2041.21     20D EMA   1987.90
Prj MBI/DIF OB/OS  IT OB       2060.75

Projected DIF Reversal Price   2054.75 Sell Prob% 42.3   Prob % Valid 46.7

MBI      133   DIF       4

July 16, 2007

Index Futures for Tuesday

Filed under: Index Futures — Quant Trader @ 3:39 pm

Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
SP-U   1566.25    1556.50    1559.75   -0.25    9.75  -0.02  0.63 112   -1
Support and Resistance  Levels
S1   1557.58 S2  1555.42 S3  1553.25 S4  1551.08 S2 Prob   45.2  S4 Prob  21.3
R1   1562.46 R2  1565.17 R3  1567.88 R4  1570.58 R2 Prob   47.1  R4 Prob  17.2
Prj Lo   1552.49   Prob %  52.5  Prj Hi  1566.44  Prob %   60.6
5D EMA   1550.70     20D EMA   1530.08
Prj MBI/DIF OB/OS  IT OB       1573.36

Projected DIF Reversal Price   1559.25 Sell Prob% 49.0   Prob % Valid 57.0

MBI      112   DIF      -1
Pair       High        Low          Last      Chng  Rnge   %Chg Vty   MBI  DIF
ND-U   2055.75    2041.00    2048.50    1.75   14.75   0.09  0.72 128    2
Support and Resistance  Levels
S1   2044.79 S2  2041.08 S3  2037.38 S4  2033.67 S2 Prob   44.1  S4 Prob  16.9
R1   2052.17 R2  2055.83 R3  2059.50 R4  2063.17 R2 Prob   47.5  R4 Prob  22.9
Prj Lo   2031.34   Prob %  33.1  Prj Hi  2062.89  Prob %   38.1
5D EMA   2031.44     20D EMA   1980.24
Prj MBI/DIF OB/OS  IT OB       2048.50

Projected DIF Reversal Price   2048.00 Sell Prob% 41.4   Prob % Valid 48.3

MBI      128   DIF       2

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