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Arbor Quantitative Analytics                                                                                                                  Master Zones and Probabilities Report



                                                                                                                                                                                 12/16/2009
US 2 Yr Note
99-24                Daily Zones        Odds of Testing   Odds of Holding      Weekly Zones         Odds of Testing   Odds of Holding     Monthly Zones      Odds of Testing Odds of Holding
Resistance         99-26+/99-26+           18.4%              44.4%           100-07/100-08             <10%               #N/A          100-26+/100-28          <10%           >90%
Resistance         99-25+/99-25+           42.9%              47.6%          100-01+/100-02+            <10%             >90%             100-10/100-12          <10%            <10%
Support             99-22+/99-23           44.9%              50.0%           99-25+/99-26+              MET              37.5%           99-24/99-25+            MET            56.3%
Support            99-20+/99-20+           14.3%             71.4%             99-21/99-21+            18.8%              55.6%          99-15+/99-17+          35.4%           88.2%

US 5 Yr Note
98-31                Daily Zones        Odds of Testing   Odds of Holding      Weekly Zones         Odds of Testing   Odds of Holding    Monthly Zones       Odds of Testing Odds of Holding
Resistance         99-08+/99-09+           21.8%              44.1%           100-08/100-10+            <10%             >90%           102-27+/103-02+          <10%           >90%
Resistance         99-04+/99-05+           47.4%              51.4%           99-27+/99-31+             <10%              60.0%         101-03+/101-09+          <10%            33.3%
Support             98-25+/98-27           51.3%              57.5%           99-03+/99-07+              MET              32.0%           99-05+/99-12            MET            43.1%
Support              98-21/98-22           13.5%              66.7%             97-29/98-00            35.9%              63.6%          98-07+/98-14+          28.8%           70.5%

US 10 Yr Note
98-04                Daily Zones        Odds of Testing   Odds of Holding     Weekly Zones          Odds of Testing   Odds of Holding    Monthly Zones       Odds of Testing Odds of Holding
Resistance         98-22+/98-24+           22.2%              66.7%           100-22/100-27             <10%               #N/A         104-18+/104-30+          <10%            #N/A
Resistance          98-15/98-17+           37.0%              40.0%           99-20/99-29+             25.9%             71.4%          102-15+/102-26+          <10%            #N/A
Support            97-27+/97-29+           63.0%             76.5%             97-30/98-03               MET             70.4%            99-08/99-18+            MET            11.1%
Support            97-15+/97-16+           11.1%             >90%             97-04/97-09+             18.5%              60.0%          97-30+/98-09+            MET            55.6%

US 30 Yr Bond
97-13                Daily Zones        Odds of Testing   Odds of Holding      Weekly Zones         Odds of Testing   Odds of Holding    Monthly Zones       Odds of Testing Odds of Holding
Resistance         98-16+/98-21+           19.4%             71.4%           101-30+/102-10+           13.9%              60.0%         109-17+/110-10+          <10%             #N/A
Resistance         97-29+/98-02+           30.6%              18.2%          99-27+/100-13+            30.6%              45.5%          105-29/107-07           <10%             #N/A
Support             96-29/97-00+           61.1%              50.0%             96-19/97-02            66.7%              45.8%          98-29/100-00+            MET            19.4%
Support            96-09+/96-13+           22.2%              37.5%            95-06/95-14+            11.1%              25.0%           96-28/97-17+            MET            58.3%

FVH0
115-20.5             Daily Zones        Odds of Testing   Odds of Holding      Weekly Zones         Odds of Testing   Odds of Holding    Monthly Zones       Odds of Testing Odds of Holding
Resistance       116-06      116-07.5      21.8%              44.1%         117-06.5   117-09.5         <10%             >90%         118-29.5   119-04.5        <10%           >90%
Resistance      115-28.5      115-30       47.4%              51.4%          116-27     116-31          <10%              60.0%       117-28.5    118-07         <10%            33.3%
Support          115-14      115-15.5      51.3%              57.5%          115-25     115-30           MET              32.0%       115-11.5    115-24          MET            43.1%
Support         115-07.5      115-09       13.5%              66.7%         114-21.5    114-25         35.9%              63.6%        114-21    114-27.5       28.8%           70.5%

TYH0
117-05.5             Daily Zones        Odds of Testing   Odds of Holding      Weekly Zones         Odds of Testing   Odds of Holding    Monthly Zones       Odds of Testing Odds of Holding
Resistance       117-26       117-29       22.2%              66.7%          119-12    119-17.5         <10%              #N/A        123-26.5    124-05         <10%            #N/A
Resistance      117-16.5     117-18.5      37.0%              40.0%         118-18.5    118-24         25.9%             71.4%        120-31.5   121-15.5        <10%             #N/A
Support         116-27.5     116-29.5      63.0%             76.5%          116-30.5   117-08.5          MET             70.4%         117-11    117-21.5         MET            11.1%
Support         116-15.5      116-18       11.1%             >90%           114-23.5    114-29         18.5%              60.0%       116-05.5    116-16          MET            55.6%

USH0
117-16.5             Daily Zones        Odds of Testing   Odds of Holding      Weekly   Zones       Odds of Testing   Odds of Holding    Monthly Zones       Odds of Testing Odds of Holding
Resistance       118-21      118-24.5      19.4%             71.4%          121-19.5     122-00.5      13.9%              60.0%       128-15.5    129-02         <10%            #N/A
Resistance      118-00.5     118-05.5      30.6%              18.2%          119-20       120-02       30.6%              45.5%        124-15     125-02         <10%             #N/A
Support          117-00       117-06       61.1%              50.0%          116-17      116-26.5      66.7%              45.8%        118-13     119-00          MET            22.8%
Support          116-14      116-17.5      22.2%              37.5%          114-12      114-21.5      11.1%              25.0%       116-07.5   116-26.5       64.8%            52.5%

US 2yr5yr Spread
147.4               Daily Zones         Odds of Testing   Odds of Holding      Weekly Zones         Odds of Testing   Odds of Holding     Monthly   Zones    Odds of Testing Odds of Holding
Resistance       151.0       151.4         15.3%              22.2%          154.1      155.0          32.2%              47.4%         162.7        164.6      30.5%            44.4%
Resistance       149.0       149.3         47.5%              39.3%          146.6      147.5            MET              42.4%         144.6        148.3        MET            54.2%
Support          145.5       145.9         42.4%              56.0%          138.3      139.7           3.4%             >90%           127.3        129.9      10.2%           83.3%
Support          144.4       144.8         23.7%              57.1%          134.6      135.4           1.7%             >90%           117.4        119.2       3.4%            50.0%

US 2yr10yr Spread
272.8              Daily Zones          Odds of Testing   Odds of Holding      Weekly Zones         Odds of Testing   Odds of Holding     Monthly   Zones    Odds of Testing Odds of Holding
Resistance      278.7       279.3          21.2%              63.6%          283.5      284.7           5.8%              33.3%         282.7        285.3      30.8%           81.3%
Resistance      274.3       274.8          57.7%              46.7%          277.1      278.4          38.5%              45.0%         265.9        269.3        MET            32.7%
Support         269.8       270.3          36.5%              36.8%          264.2      265.4          11.5%             83.3%          242.0        245.5       3.8%            50.0%
Support         267.5       267.9          23.1%              33.3%          258.7      259.9           0.0%               #N/A         232.3        234.9       0.0%             #N/A

US 10yr30yr Spread
93.3                Daily Zones         Odds of Testing   Odds of Holding      Weekly Zones         Odds of Testing   Odds of Holding     Monthly Zones      Odds of Testing Odds of Holding
Resistance       95.7         96.0         16.7%              30.8%          103.3      104.1           0.0%              67.6%         115.2      116.7         0.0%           >90%
Resistance       94.0         94.3         47.2%              54.7%           99.9      101.0           8.3%              39.3%         104.1      105.6        19.4%            68.4%
Support          91.4         92.0         55.6%              61.3%          91.5       92.3             MET             >90%           87.1        89.4        41.7%           >90%
Support          90.2         90.6         16.7%             >90%            88.4       89.2            8.3%              #N/A           80.4       82.3         8.3%            #N/A

US 2yr5yr10yr Butterfly
21.1                Daily Zones         Odds of Testing   Odds of Holding     Weekly Zones          Odds of Testing   Odds of Holding     Monthly Zones      Odds of Testing Odds of Holding
Resistance       27.7         28.4         14.6%              66.7%          24.3      25.7            38.2%              #N/A          36.4        38.7         3.4%            #N/A
Resistance       23.9         24.7         59.6%              64.7%          19.4      20.8              MET              33.3%         27.9        31.6        21.3%           >90%
Support          16.2         17.2         34.8%             70.0%           6.6        8.6             4.5%             75.0%          4.8         7.1           MET            60.0%
Support          11.3         12.3         15.7%             83.3%           -6.3       -4.9            0.0%              66.7%         -5.2        -2.8         0.0%            33.3%
Arbor Quantitative Analytics                                                                                                             Master Zones and Probabilities Report




Schatz December Futures
108.1             Daily Zones         Odds of Testing   Odds of Holding     Weekly Zones      Odds of Testing   Odds of Holding     Monthly    Zones     Odds of Testing Odds of Holding
Resistance    108.23       108.24        12.9%             75.0%          108.38    108.41        3.3%             >90%           108.70        108.76       0.0%            #N/A
Resistance    108.17       108.18        61.3%             84.2%          108.21    108.27       33.3%              60.0%         108.29        108.37      31.0%           88.9%
Support       108.07       108.08        61.3%              36.8%         107.85    107.90       60.0%              50.0%         107.59        107.69      34.5%           70.0%
Support       108.03       108.04        22.6%              42.9%         107.74    107.77       26.7%             75.0%          107.29        107.35       6.9%            50.0%

Bobl December Futures
116.4              Daily Zones        Odds of Testing   Odds of Holding     Weekly Zones      Odds of Testing   Odds of Holding     Monthly    Zones     Odds of Testing Odds of Holding
Resistance     116.73       116.76       17.2%              63.6%         117.23    117.31       13.1%              37.5%         118.64        118.80      10.0%            50.0%
Resistance     116.60       116.64       39.1%              60.0%         116.87    116.95       26.2%              31.3%         117.32        117.48      35.0%            33.3%
Support        116.21       116.26       56.3%              41.7%         115.96    116.04       70.5%              53.5%         115.29        115.50      43.3%            30.8%
Support        115.92       115.96       25.0%              31.3%         115.69    115.77       23.0%             78.6%          114.62        114.85      15.0%            44.4%

Bund December Futures
122.5             Daily Zones         Odds of Testing   Odds of Holding     Weekly Zones      Odds of Testing   Odds of Holding     Monthly    Zones     Odds of Testing Odds of Holding
Resistance    123.05       123.11        16.2%              54.5%         123.90    124.04       18.2%              58.3%         125.50        125.78       7.8%            60.0%
Resistance    122.75       122.81        41.2%              57.1%         123.26    123.48       31.8%              23.8%         124.19        124.70      35.9%            52.2%
Support       122.20       122.29        52.9%              36.1%         122.07    122.25       62.1%              56.1%         121.45        121.73      40.6%            42.3%
Support       121.86       121.92        26.5%              33.3%         121.52    121.66       16.7%             72.7%          120.13        120.52      14.1%            55.6%

Bund 2Yr 10Yr Spread
197.9              Daily Zones        Odds of Testing   Odds of Holding     Weekly Zones      Odds of Testing   Odds of Holding     Monthly    Zones     Odds of Testing Odds of Holding
Resistance      200.5       200.8        20.5%              12.5%         204.2      205.4       17.9%              57.1%         223.1         225.3       15.4%            50.0%
Resistance      198.8       199.1        53.8%              42.9%         198.9      200.9       66.7%              50.0%         202.3         206.1       61.5%            54.2%
Support         195.6       196.2        35.9%              21.4%         186.1      187.6       30.8%              41.7%         178.3         180.5       20.5%            50.0%
Support         194.5       194.8        17.9%              42.9%         181.9      183.0       10.3%             75.0%          169.6         172.2        7.7%            66.7%

Bund 10Yr 30Yr Spread
75.6               Daily Zones        Odds of Testing   Odds of Holding     Weekly Zones      Odds of Testing   Odds of Holding     Monthly Zones        Odds of Testing Odds of Holding
Resistance      77.6         77.8        12.9%              62.5%          84.4      85.2         4.8%             >90%            87.3       88.7           9.7%            66.7%
Resistance      76.6         77.0        43.5%              63.0%          79.8      81.2        17.7%              45.5%          77.9       79.3         100.0%            67.7%
Support         74.8         75.0        59.7%              51.4%          73.3      74.9        77.4%              60.4%          65.4       66.7           4.8%           >90%
Support         73.1         73.3        19.4%             75.0%           69.8      70.5        25.8%             81.3%           58.5       59.8           0.0%             #N/A

EUR/USD
1.4533              Daily Zones       Odds of Testing   Odds of Holding      Weekly Zones     Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance      1.4655       1.4668      21.8%              50.0%         1.4972     1.4999       3.6%             >90%           1.5777        1.5830       1.9%           >90%
Resistance      1.4603       1.4628      47.3%              50.0%         1.4802     1.4844      10.9%             83.3%          1.5221        1.5302       5.7%           >90%
Support         1.4469       1.4489      47.3%              30.8%         1.4499     1.4526        MET              60.0%         1.4702        1.4769        MET            30.2%
Support         1.4400       1.4413      14.5%              37.5%         1.4334     1.4361      30.9%              58.8%         1.4411        1.4463      50.9%            55.6%

GBP/USD
1.6258              Daily Zones       Odds of Testing   Odds of Holding      Weekly Zones     Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance      1.6409       1.6424      13.3%             75.0%          1.6635     1.6673       3.3%              <10%          1.7201        1.7285       0.0%            #N/A
Resistance      1.6310       1.6330      56.7%              64.7%         1.6435     1.6473      30.0%             88.9%          1.6770        1.6888      10.0%           >90%
Support         1.6184       1.6203      50.0%              33.3%         1.6071     1.6109      60.0%              66.7%         1.6047        1.6176        MET           70.0%
Support         1.6077       1.6091      30.0%              44.4%         1.5936     1.5974      20.0%              50.0%         1.5758        1.5843      10.0%            66.7%

USD/JPY
89.70              Daily Zones        Odds of Testing   Odds of Holding     Weekly Zones      Odds of Testing   Odds of Holding     Monthly    Zones     Odds of Testing Odds of Holding
Resistance      90.52       90.64         1.9%              <10%          92.12      92.42        9.6%              60.0%         92.02         92.55       19.2%            40.0%
Resistance      90.13       90.25        40.4%             76.2%          90.37      90.72       48.1%              68.0%         89.36         90.14         MET           73.1%
Support         88.94       89.08        46.2%              45.8%         87.35      87.65       38.5%              60.0%         83.65         84.36       15.4%           75.0%
Support         88.43       88.58        25.0%              69.2%         85.92      86.22       17.3%              66.7%         81.38         81.91        1.9%           >90%

AUD/USD
0.9068              Daily Zones       Odds of Testing   Odds of Holding      Weekly Zones     Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance      0.9174       0.9185      16.7%             72.7%          0.9310     0.9337       9.1%              16.7%         1.0212        1.0269       7.7%            60.0%
Resistance      0.9136       0.9149      40.9%              55.6%         0.9197     0.9244      31.8%              57.1%         0.9357        0.9435      32.3%           81.0%
Support         0.9009       0.9023      34.8%              43.5%         0.8965     0.9019      50.0%              54.5%         0.8867        0.8923      53.8%           74.3%
Support         0.8885       0.8896      13.6%              22.2%         0.8699     0.8727      16.7%              27.3%         0.8557        0.8613       4.6%            66.7%

USD/CAD
1.0612              Daily Zones       Odds of Testing   Odds of Holding      Weekly Zones     Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance      1.0728       1.0739      16.9%              60.0%         1.0827     1.0854      11.2%              60.0%         1.1070        1.1133       9.4%            50.0%
Resistance      1.0645       1.0665      44.9%              62.5%         1.0691     1.0736      65.2%              67.2%         1.0813        1.0894      48.2%            63.4%
Support         1.0548       1.0560      49.4%              54.5%         1.0450     1.0502      37.1%              63.6%         1.0258        1.0362      27.1%            65.2%
Support         1.0436       1.0447      23.6%              47.6%         1.0324     1.0351      10.1%              66.7%         0.9845        0.9908       7.1%           >90%

USD/CHF
1.0404              Daily Zones       Odds of Testing   Odds of Holding      Weekly Zones     Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance      1.0489       1.0498      14.8%              50.0%         1.0530     1.0551      22.2%              <10%          1.0458        1.0498      51.9%            57.1%
Resistance      1.0434       1.0451      40.7%              36.4%         1.0411     1.0432        MET              48.1%         1.0225        1.0284        MET            25.9%
Support         1.0331       1.0342      63.0%              47.1%         1.0168     1.0202       7.4%              50.0%         0.9864        0.9918       0.0%            #N/A
Support         1.0303       1.0312      33.3%              44.4%         1.0070     1.0091       0.0%               #N/A         0.9664        0.9705       0.0%             #N/A
Arbor Quantitative Analytics                                                                                                                 Master Zones and Probabilities Report




Crude Oil (CLF0)
70.7                  Daily Zones      Odds of Testing   Odds of Holding      Weekly Zones        Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance         72.90       73.12      15.9%              45.5%          75.82      76.38         13.0%              44.4%          93.30        94.30        0.0%            #N/A
Resistance         71.46       71.67      49.3%              52.9%          73.50      74.36         37.7%              61.5%          81.06        82.15        2.9%           >90%
Support            69.48       69.69      46.4%              37.5%          67.40      68.10         21.7%              60.0%          71.41        72.79         MET            26.1%
Support            68.67       68.88      23.2%              31.3%          63.79      64.35          1.4%             >90%            67.51        68.75         MET            68.1%

Gold Spot
1123.9               Daily Zones       Odds of Testing   Odds of Holding      Weekly   Zones      Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance       1146.89     1149.15      24.1%              57.1%         1184.14      1189.32       6.9%             >90%           1315.36      1323.56       0.0%            #N/A
Resistance       1131.16     1134.41      43.1%              40.0%         1148.68      1158.86      20.7%              66.7%         1231.04      1239.24      24.6%           >90%
Support          1110.67     1114.45      50.0%              55.2%         1094.31      1099.49      37.9%              54.5%         1135.64      1143.84        MET            28.1%
Support          1094.19     1096.45      19.0%             72.7%          1067.61      1072.79       3.4%              50.0%         1096.74      1108.19      59.6%            52.9%

Silver Spot
17.4                  Daily Zones      Odds of Testing   Odds of Holding      Weekly Zones        Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance         17.87       17.92      14.9%              57.1%          18.48      18.61          6.4%              <10%           20.49        20.72        0.0%            #N/A
Resistance         17.58       17.67      42.6%              50.0%          18.05      18.19         27.7%              69.2%          19.22        19.49         MET           90.0%
Support            17.13       17.20      51.1%              62.5%          16.53      16.75         17.0%              50.0%          16.77        17.00         MET           74.5%
Support            16.78       16.83      12.8%              50.0%          15.63      15.76          4.3%              50.0%          15.41        15.64       17.0%           87.5%

SPX
1107.9               Daily Zones       Odds of Testing   Odds of Holding      Weekly   Zones      Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance       1116.65     1117.57       8.9%             75.0%          1133.21      1136.19       4.4%              <10%          1203.01      1211.85       6.7%            66.7%
Resistance       1112.19     1113.46      40.0%             77.8%          1114.08      1119.19        MET             86.7%          1126.02      1138.35      40.0%           83.3%
Support          1103.23     1104.37      71.1%              53.1%         1088.35      1091.33      31.1%              50.0%         1043.77      1058.38      42.2%            68.4%
Support          1095.48     1096.40      24.4%              27.3%         1058.23      1061.22      11.1%              60.0%         1003.07      1015.85      15.6%           85.7%

NDX
1798.2               Daily Zones       Odds of Testing   Odds of Holding      Weekly   Zones      Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance       1817.50     1819.78      19.1%             77.8%          1869.18      1875.07       6.4%              33.3%         1963.95      1979.91      10.6%           80.0%
Resistance       1807.35     1811.48      59.6%              67.9%         1810.31      1821.38        MET             85.1%          1833.71      1849.67      44.7%            61.9%
Support          1787.57     1790.16      59.6%             75.0%          1756.66      1767.80      25.5%              66.7%         1652.44      1676.11      21.3%           70.0%
Support          1780.46     1782.75      10.6%              40.0%         1718.65      1724.54       2.1%              <10%          1599.49      1615.45       0.0%             #N/A

iTraxx Euro Xover
477.3               Daily Zones        Odds of Testing   Odds of Holding      Weekly Zones        Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Support          491.0       492.7        33.3%              62.5%          527.6      532.0          2.1%             >90%            627.0        639.3        2.1%            <10%
Support          482.2       485.2        58.3%              46.4%          506.6      515.1          6.4%              66.7%          582.6        599.5       10.6%           80.0%
Resistance       469.5       472.5        39.6%              47.4%          469.7      477.5           MET              66.0%          476.6        495.4         MET            61.7%
Resistance       463.7       465.3        10.4%              20.0%          415.8      420.2          8.5%             75.0%           371.1        383.4       21.3%           90.0%

iTraxx Euro Main
80.9                  Daily Zones      Odds of Testing   Odds of Holding     Weekly Zones         Odds of Testing   Odds of Holding      Monthly Zones       Odds of Testing Odds of Holding
Support            84.8         85.1       4.5%              <10%           86.8      87.6            0.0%              #N/A           110.0      112.4          0.0%            #N/A
Support            81.8         82.4      40.9%              66.7%          84.1      84.9           13.6%              66.7%           98.8      101.3         22.7%           >90%
Resistance         78.8         79.2      59.1%             76.9%           77.5      78.7             MET             81.8%           76.8        79.8           MET           81.8%
Resistance         75.6         75.9      13.6%              66.7%          68.0      68.8           13.6%              33.3%           61.6       64.7          9.1%           >90%

North American Investment Grade
92.3                Daily Zones        Odds of Testing   Odds of Holding      Weekly Zones        Odds of Testing   Odds of Holding      Monthly Zones       Odds of Testing Odds of Holding
Support          93.7         93.9        14.3%              22.2%          100.0      100.8          4.8%              66.7%          135.3      137.7          1.6%           >90%
Support          92.8         93.0        68.3%              67.4%           97.3       98.1         14.3%             77.8%           115.0      118.2          4.8%           >90%
Resistance       91.3         91.6        47.6%             70.0%           91.3       92.0            MET             74.6%           94.3        98.8           MET            30.6%
Resistance       90.3         90.5         6.3%             75.0%           87.9       88.6           9.5%             83.3%           80.4        82.8         38.7%           70.8%

DAX
5811.3               Daily Zones       Odds of Testing   Odds of Holding      Weekly   Zones      Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Resistance       5895.76     5904.62      10.4%              50.0%         6010.25      6034.51      19.5%              46.7%         6263.62      6319.86      19.5%           80.0%
Resistance       5834.24     5849.72      29.9%              60.9%         5817.65      5864.83        MET             76.6%          5798.33      5892.07        MET            68.8%
Support          5759.04     5767.89      61.0%              61.7%         5622.19      5663.87      29.9%              69.6%         5298.00      5354.24       9.1%           85.7%
Support          5730.88     5739.74      19.5%              40.0%         5351.52      5380.62       9.1%              57.1%         5120.20      5176.44       0.0%             #N/A

CAN 10 Yr Note
3.4                   Daily Zones      Odds of Testing   Odds of Holding      Weekly Zones        Odds of Testing   Odds of Holding      Monthly   Zones     Odds of Testing Odds of Holding
Support            3.452       3.456      15.0%              <10%           3.519      3.534         30.0%              66.7%          3.521        3.552       40.0%            62.5%
Support            3.428       3.436      30.0%              50.0%          3.439      3.456         65.0%              53.8%          3.419        3.449         MET           70.0%
Resistance         3.391       3.399      45.0%              44.4%          3.276      3.298         25.0%             >90%            3.088        3.121        5.0%            <10%
Resistance         3.374       3.378      20.0%              25.0%          3.214      3.231          0.0%               #N/A          2.764        2.809        0.0%             #N/A

CAN 10 Yr USD 10Yr Spread
-18.7              Daily Zones         Odds of Testing   Odds of Holding      Weekly Zones        Odds of Testing   Odds of Holding      Monthly Zones       Odds of Testing Odds of Holding
Resistance      -12.9       -12.2         27.6%              37.5%           -2.1       -0.9          1.7%             >90%            18.1        20.3          0.0%            #N/A
Resistance      -15.7       -14.9         46.6%              33.3%           -9.0       -7.7         20.7%             75.0%            8.5        12.0          1.7%           >90%
Support         -21.7       -21.2         50.0%              44.8%          -19.7      -17.4           MET              63.8%          -10.2       -6.2           MET            31.0%
Support         -24.6       -24.1         22.4%              46.2%          -25.6      -24.5         17.2%              50.0%          -32.7      -30.5         27.6%            56.3%
Arbor Quantitative Analytics                                                                                                          Master Zones and Probabilities Report




USD 2yr Swap Spread
36.4               Daily Zones      Odds of Testing   Odds of Holding    Weekly Zones      Odds of Testing   Odds of Holding    Monthly Zones      Odds of Testing Odds of Holding
Support         38.9         39.2      21.4%              41.7%         42.0      42.8        16.1%             77.8%          50.5       52.0         7.1%           >90%
Zones           37.3         37.6      62.5%              42.9%         38.6      39.8        57.1%              65.6%         39.6       42.3          MET           82.1%
Resistance      34.6         35.0      33.9%              63.2%         31.3      32.1        30.4%              47.1%         26.0       27.5        10.7%            66.7%
Zones           33.5         33.8      10.7%              66.7%         27.7      28.5         8.9%              60.0%         21.3       22.8         1.8%           >90%

USD 5yr Swap Spread
38.9               Daily Zones      Odds of Testing   Odds of Holding    Weekly Zones      Odds of Testing   Odds of Holding    Monthly Zones      Odds of Testing Odds of Holding
Support         41.6         41.8      24.3%              66.7%         42.4      43.0         5.4%             >90%           41.8       43.0        24.3%           77.8%
Zones           39.6         39.8      59.5%              45.5%         39.8      40.9        51.4%              47.4%         37.1       39.2          MET            56.8%
Resistance      37.9         38.1      43.2%              25.0%         33.9      35.0        13.5%              60.0%         26.1       27.3         2.7%           >90%
Zones           36.6         36.9      18.9%              14.3%         31.3      32.0         2.7%              <10%          21.6       22.9         0.0%             #N/A

USD 10yr Swap Spread
14.4               Daily Zones      Odds of Testing   Odds of Holding    Weekly Zones      Odds of Testing   Odds of Holding     Monthly Zones     Odds of Testing Odds of Holding
Support         16.4         16.6       9.1%             >90%           16.6      17.3         9.1%              50.0%         19.9        21.0        9.1%            <10%
Zones           15.1         15.3      63.6%              64.3%         14.4      15.1          MET              59.1%         15.2        17.4         MET           >90%
Resistance      13.0         13.3      22.7%              60.0%         9.6       10.2         9.1%             >90%           4.8         5.9         4.5%            <10%
Zones           11.9         12.2      13.6%             >90%           7.2        7.9         0.0%               #N/A         -4.3        -2.6        4.5%            <10%

USD 30yr Swap Spread
-16.1             Daily Zones       Odds of Testing   Odds of Holding     Weekly Zones     Odds of Testing   Odds of Holding      Monthly Zones    Odds of Testing Odds of Holding
Support        -13.9       -13.7       21.6%              52.6%          -9.8       -9.2       6.8%              33.3%          -3.9        -2.5       8.0%           71.4%
Zones          -14.9       -14.5       61.4%              59.3%         -13.4      -12.7      37.5%              48.5%         -10.7        -9.0      28.7%            64.0%
Resistance     -17.4       -17.0       47.7%              64.3%         -19.8      -18.9      27.3%              62.5%         -23.0       -20.4      48.3%           85.7%
Zones          -18.3       -18.0       10.2%              55.6%         -23.5      -22.8       5.7%             80.0%          -32.3       -30.4       6.9%           >90%

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Arbor Quantitative Analytics Master Zones and Probabilities Report

  • 1. Arbor Quantitative Analytics Master Zones and Probabilities Report 12/16/2009 US 2 Yr Note 99-24 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 99-26+/99-26+ 18.4% 44.4% 100-07/100-08 <10% #N/A 100-26+/100-28 <10% >90% Resistance 99-25+/99-25+ 42.9% 47.6% 100-01+/100-02+ <10% >90% 100-10/100-12 <10% <10% Support 99-22+/99-23 44.9% 50.0% 99-25+/99-26+ MET 37.5% 99-24/99-25+ MET 56.3% Support 99-20+/99-20+ 14.3% 71.4% 99-21/99-21+ 18.8% 55.6% 99-15+/99-17+ 35.4% 88.2% US 5 Yr Note 98-31 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 99-08+/99-09+ 21.8% 44.1% 100-08/100-10+ <10% >90% 102-27+/103-02+ <10% >90% Resistance 99-04+/99-05+ 47.4% 51.4% 99-27+/99-31+ <10% 60.0% 101-03+/101-09+ <10% 33.3% Support 98-25+/98-27 51.3% 57.5% 99-03+/99-07+ MET 32.0% 99-05+/99-12 MET 43.1% Support 98-21/98-22 13.5% 66.7% 97-29/98-00 35.9% 63.6% 98-07+/98-14+ 28.8% 70.5% US 10 Yr Note 98-04 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 98-22+/98-24+ 22.2% 66.7% 100-22/100-27 <10% #N/A 104-18+/104-30+ <10% #N/A Resistance 98-15/98-17+ 37.0% 40.0% 99-20/99-29+ 25.9% 71.4% 102-15+/102-26+ <10% #N/A Support 97-27+/97-29+ 63.0% 76.5% 97-30/98-03 MET 70.4% 99-08/99-18+ MET 11.1% Support 97-15+/97-16+ 11.1% >90% 97-04/97-09+ 18.5% 60.0% 97-30+/98-09+ MET 55.6% US 30 Yr Bond 97-13 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 98-16+/98-21+ 19.4% 71.4% 101-30+/102-10+ 13.9% 60.0% 109-17+/110-10+ <10% #N/A Resistance 97-29+/98-02+ 30.6% 18.2% 99-27+/100-13+ 30.6% 45.5% 105-29/107-07 <10% #N/A Support 96-29/97-00+ 61.1% 50.0% 96-19/97-02 66.7% 45.8% 98-29/100-00+ MET 19.4% Support 96-09+/96-13+ 22.2% 37.5% 95-06/95-14+ 11.1% 25.0% 96-28/97-17+ MET 58.3% FVH0 115-20.5 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 116-06 116-07.5 21.8% 44.1% 117-06.5 117-09.5 <10% >90% 118-29.5 119-04.5 <10% >90% Resistance 115-28.5 115-30 47.4% 51.4% 116-27 116-31 <10% 60.0% 117-28.5 118-07 <10% 33.3% Support 115-14 115-15.5 51.3% 57.5% 115-25 115-30 MET 32.0% 115-11.5 115-24 MET 43.1% Support 115-07.5 115-09 13.5% 66.7% 114-21.5 114-25 35.9% 63.6% 114-21 114-27.5 28.8% 70.5% TYH0 117-05.5 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 117-26 117-29 22.2% 66.7% 119-12 119-17.5 <10% #N/A 123-26.5 124-05 <10% #N/A Resistance 117-16.5 117-18.5 37.0% 40.0% 118-18.5 118-24 25.9% 71.4% 120-31.5 121-15.5 <10% #N/A Support 116-27.5 116-29.5 63.0% 76.5% 116-30.5 117-08.5 MET 70.4% 117-11 117-21.5 MET 11.1% Support 116-15.5 116-18 11.1% >90% 114-23.5 114-29 18.5% 60.0% 116-05.5 116-16 MET 55.6% USH0 117-16.5 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 118-21 118-24.5 19.4% 71.4% 121-19.5 122-00.5 13.9% 60.0% 128-15.5 129-02 <10% #N/A Resistance 118-00.5 118-05.5 30.6% 18.2% 119-20 120-02 30.6% 45.5% 124-15 125-02 <10% #N/A Support 117-00 117-06 61.1% 50.0% 116-17 116-26.5 66.7% 45.8% 118-13 119-00 MET 22.8% Support 116-14 116-17.5 22.2% 37.5% 114-12 114-21.5 11.1% 25.0% 116-07.5 116-26.5 64.8% 52.5% US 2yr5yr Spread 147.4 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 151.0 151.4 15.3% 22.2% 154.1 155.0 32.2% 47.4% 162.7 164.6 30.5% 44.4% Resistance 149.0 149.3 47.5% 39.3% 146.6 147.5 MET 42.4% 144.6 148.3 MET 54.2% Support 145.5 145.9 42.4% 56.0% 138.3 139.7 3.4% >90% 127.3 129.9 10.2% 83.3% Support 144.4 144.8 23.7% 57.1% 134.6 135.4 1.7% >90% 117.4 119.2 3.4% 50.0% US 2yr10yr Spread 272.8 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 278.7 279.3 21.2% 63.6% 283.5 284.7 5.8% 33.3% 282.7 285.3 30.8% 81.3% Resistance 274.3 274.8 57.7% 46.7% 277.1 278.4 38.5% 45.0% 265.9 269.3 MET 32.7% Support 269.8 270.3 36.5% 36.8% 264.2 265.4 11.5% 83.3% 242.0 245.5 3.8% 50.0% Support 267.5 267.9 23.1% 33.3% 258.7 259.9 0.0% #N/A 232.3 234.9 0.0% #N/A US 10yr30yr Spread 93.3 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 95.7 96.0 16.7% 30.8% 103.3 104.1 0.0% 67.6% 115.2 116.7 0.0% >90% Resistance 94.0 94.3 47.2% 54.7% 99.9 101.0 8.3% 39.3% 104.1 105.6 19.4% 68.4% Support 91.4 92.0 55.6% 61.3% 91.5 92.3 MET >90% 87.1 89.4 41.7% >90% Support 90.2 90.6 16.7% >90% 88.4 89.2 8.3% #N/A 80.4 82.3 8.3% #N/A US 2yr5yr10yr Butterfly 21.1 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 27.7 28.4 14.6% 66.7% 24.3 25.7 38.2% #N/A 36.4 38.7 3.4% #N/A Resistance 23.9 24.7 59.6% 64.7% 19.4 20.8 MET 33.3% 27.9 31.6 21.3% >90% Support 16.2 17.2 34.8% 70.0% 6.6 8.6 4.5% 75.0% 4.8 7.1 MET 60.0% Support 11.3 12.3 15.7% 83.3% -6.3 -4.9 0.0% 66.7% -5.2 -2.8 0.0% 33.3%
  • 2. Arbor Quantitative Analytics Master Zones and Probabilities Report Schatz December Futures 108.1 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 108.23 108.24 12.9% 75.0% 108.38 108.41 3.3% >90% 108.70 108.76 0.0% #N/A Resistance 108.17 108.18 61.3% 84.2% 108.21 108.27 33.3% 60.0% 108.29 108.37 31.0% 88.9% Support 108.07 108.08 61.3% 36.8% 107.85 107.90 60.0% 50.0% 107.59 107.69 34.5% 70.0% Support 108.03 108.04 22.6% 42.9% 107.74 107.77 26.7% 75.0% 107.29 107.35 6.9% 50.0% Bobl December Futures 116.4 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 116.73 116.76 17.2% 63.6% 117.23 117.31 13.1% 37.5% 118.64 118.80 10.0% 50.0% Resistance 116.60 116.64 39.1% 60.0% 116.87 116.95 26.2% 31.3% 117.32 117.48 35.0% 33.3% Support 116.21 116.26 56.3% 41.7% 115.96 116.04 70.5% 53.5% 115.29 115.50 43.3% 30.8% Support 115.92 115.96 25.0% 31.3% 115.69 115.77 23.0% 78.6% 114.62 114.85 15.0% 44.4% Bund December Futures 122.5 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 123.05 123.11 16.2% 54.5% 123.90 124.04 18.2% 58.3% 125.50 125.78 7.8% 60.0% Resistance 122.75 122.81 41.2% 57.1% 123.26 123.48 31.8% 23.8% 124.19 124.70 35.9% 52.2% Support 122.20 122.29 52.9% 36.1% 122.07 122.25 62.1% 56.1% 121.45 121.73 40.6% 42.3% Support 121.86 121.92 26.5% 33.3% 121.52 121.66 16.7% 72.7% 120.13 120.52 14.1% 55.6% Bund 2Yr 10Yr Spread 197.9 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 200.5 200.8 20.5% 12.5% 204.2 205.4 17.9% 57.1% 223.1 225.3 15.4% 50.0% Resistance 198.8 199.1 53.8% 42.9% 198.9 200.9 66.7% 50.0% 202.3 206.1 61.5% 54.2% Support 195.6 196.2 35.9% 21.4% 186.1 187.6 30.8% 41.7% 178.3 180.5 20.5% 50.0% Support 194.5 194.8 17.9% 42.9% 181.9 183.0 10.3% 75.0% 169.6 172.2 7.7% 66.7% Bund 10Yr 30Yr Spread 75.6 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 77.6 77.8 12.9% 62.5% 84.4 85.2 4.8% >90% 87.3 88.7 9.7% 66.7% Resistance 76.6 77.0 43.5% 63.0% 79.8 81.2 17.7% 45.5% 77.9 79.3 100.0% 67.7% Support 74.8 75.0 59.7% 51.4% 73.3 74.9 77.4% 60.4% 65.4 66.7 4.8% >90% Support 73.1 73.3 19.4% 75.0% 69.8 70.5 25.8% 81.3% 58.5 59.8 0.0% #N/A EUR/USD 1.4533 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 1.4655 1.4668 21.8% 50.0% 1.4972 1.4999 3.6% >90% 1.5777 1.5830 1.9% >90% Resistance 1.4603 1.4628 47.3% 50.0% 1.4802 1.4844 10.9% 83.3% 1.5221 1.5302 5.7% >90% Support 1.4469 1.4489 47.3% 30.8% 1.4499 1.4526 MET 60.0% 1.4702 1.4769 MET 30.2% Support 1.4400 1.4413 14.5% 37.5% 1.4334 1.4361 30.9% 58.8% 1.4411 1.4463 50.9% 55.6% GBP/USD 1.6258 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 1.6409 1.6424 13.3% 75.0% 1.6635 1.6673 3.3% <10% 1.7201 1.7285 0.0% #N/A Resistance 1.6310 1.6330 56.7% 64.7% 1.6435 1.6473 30.0% 88.9% 1.6770 1.6888 10.0% >90% Support 1.6184 1.6203 50.0% 33.3% 1.6071 1.6109 60.0% 66.7% 1.6047 1.6176 MET 70.0% Support 1.6077 1.6091 30.0% 44.4% 1.5936 1.5974 20.0% 50.0% 1.5758 1.5843 10.0% 66.7% USD/JPY 89.70 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 90.52 90.64 1.9% <10% 92.12 92.42 9.6% 60.0% 92.02 92.55 19.2% 40.0% Resistance 90.13 90.25 40.4% 76.2% 90.37 90.72 48.1% 68.0% 89.36 90.14 MET 73.1% Support 88.94 89.08 46.2% 45.8% 87.35 87.65 38.5% 60.0% 83.65 84.36 15.4% 75.0% Support 88.43 88.58 25.0% 69.2% 85.92 86.22 17.3% 66.7% 81.38 81.91 1.9% >90% AUD/USD 0.9068 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 0.9174 0.9185 16.7% 72.7% 0.9310 0.9337 9.1% 16.7% 1.0212 1.0269 7.7% 60.0% Resistance 0.9136 0.9149 40.9% 55.6% 0.9197 0.9244 31.8% 57.1% 0.9357 0.9435 32.3% 81.0% Support 0.9009 0.9023 34.8% 43.5% 0.8965 0.9019 50.0% 54.5% 0.8867 0.8923 53.8% 74.3% Support 0.8885 0.8896 13.6% 22.2% 0.8699 0.8727 16.7% 27.3% 0.8557 0.8613 4.6% 66.7% USD/CAD 1.0612 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 1.0728 1.0739 16.9% 60.0% 1.0827 1.0854 11.2% 60.0% 1.1070 1.1133 9.4% 50.0% Resistance 1.0645 1.0665 44.9% 62.5% 1.0691 1.0736 65.2% 67.2% 1.0813 1.0894 48.2% 63.4% Support 1.0548 1.0560 49.4% 54.5% 1.0450 1.0502 37.1% 63.6% 1.0258 1.0362 27.1% 65.2% Support 1.0436 1.0447 23.6% 47.6% 1.0324 1.0351 10.1% 66.7% 0.9845 0.9908 7.1% >90% USD/CHF 1.0404 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 1.0489 1.0498 14.8% 50.0% 1.0530 1.0551 22.2% <10% 1.0458 1.0498 51.9% 57.1% Resistance 1.0434 1.0451 40.7% 36.4% 1.0411 1.0432 MET 48.1% 1.0225 1.0284 MET 25.9% Support 1.0331 1.0342 63.0% 47.1% 1.0168 1.0202 7.4% 50.0% 0.9864 0.9918 0.0% #N/A Support 1.0303 1.0312 33.3% 44.4% 1.0070 1.0091 0.0% #N/A 0.9664 0.9705 0.0% #N/A
  • 3. Arbor Quantitative Analytics Master Zones and Probabilities Report Crude Oil (CLF0) 70.7 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 72.90 73.12 15.9% 45.5% 75.82 76.38 13.0% 44.4% 93.30 94.30 0.0% #N/A Resistance 71.46 71.67 49.3% 52.9% 73.50 74.36 37.7% 61.5% 81.06 82.15 2.9% >90% Support 69.48 69.69 46.4% 37.5% 67.40 68.10 21.7% 60.0% 71.41 72.79 MET 26.1% Support 68.67 68.88 23.2% 31.3% 63.79 64.35 1.4% >90% 67.51 68.75 MET 68.1% Gold Spot 1123.9 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 1146.89 1149.15 24.1% 57.1% 1184.14 1189.32 6.9% >90% 1315.36 1323.56 0.0% #N/A Resistance 1131.16 1134.41 43.1% 40.0% 1148.68 1158.86 20.7% 66.7% 1231.04 1239.24 24.6% >90% Support 1110.67 1114.45 50.0% 55.2% 1094.31 1099.49 37.9% 54.5% 1135.64 1143.84 MET 28.1% Support 1094.19 1096.45 19.0% 72.7% 1067.61 1072.79 3.4% 50.0% 1096.74 1108.19 59.6% 52.9% Silver Spot 17.4 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 17.87 17.92 14.9% 57.1% 18.48 18.61 6.4% <10% 20.49 20.72 0.0% #N/A Resistance 17.58 17.67 42.6% 50.0% 18.05 18.19 27.7% 69.2% 19.22 19.49 MET 90.0% Support 17.13 17.20 51.1% 62.5% 16.53 16.75 17.0% 50.0% 16.77 17.00 MET 74.5% Support 16.78 16.83 12.8% 50.0% 15.63 15.76 4.3% 50.0% 15.41 15.64 17.0% 87.5% SPX 1107.9 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 1116.65 1117.57 8.9% 75.0% 1133.21 1136.19 4.4% <10% 1203.01 1211.85 6.7% 66.7% Resistance 1112.19 1113.46 40.0% 77.8% 1114.08 1119.19 MET 86.7% 1126.02 1138.35 40.0% 83.3% Support 1103.23 1104.37 71.1% 53.1% 1088.35 1091.33 31.1% 50.0% 1043.77 1058.38 42.2% 68.4% Support 1095.48 1096.40 24.4% 27.3% 1058.23 1061.22 11.1% 60.0% 1003.07 1015.85 15.6% 85.7% NDX 1798.2 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 1817.50 1819.78 19.1% 77.8% 1869.18 1875.07 6.4% 33.3% 1963.95 1979.91 10.6% 80.0% Resistance 1807.35 1811.48 59.6% 67.9% 1810.31 1821.38 MET 85.1% 1833.71 1849.67 44.7% 61.9% Support 1787.57 1790.16 59.6% 75.0% 1756.66 1767.80 25.5% 66.7% 1652.44 1676.11 21.3% 70.0% Support 1780.46 1782.75 10.6% 40.0% 1718.65 1724.54 2.1% <10% 1599.49 1615.45 0.0% #N/A iTraxx Euro Xover 477.3 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Support 491.0 492.7 33.3% 62.5% 527.6 532.0 2.1% >90% 627.0 639.3 2.1% <10% Support 482.2 485.2 58.3% 46.4% 506.6 515.1 6.4% 66.7% 582.6 599.5 10.6% 80.0% Resistance 469.5 472.5 39.6% 47.4% 469.7 477.5 MET 66.0% 476.6 495.4 MET 61.7% Resistance 463.7 465.3 10.4% 20.0% 415.8 420.2 8.5% 75.0% 371.1 383.4 21.3% 90.0% iTraxx Euro Main 80.9 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Support 84.8 85.1 4.5% <10% 86.8 87.6 0.0% #N/A 110.0 112.4 0.0% #N/A Support 81.8 82.4 40.9% 66.7% 84.1 84.9 13.6% 66.7% 98.8 101.3 22.7% >90% Resistance 78.8 79.2 59.1% 76.9% 77.5 78.7 MET 81.8% 76.8 79.8 MET 81.8% Resistance 75.6 75.9 13.6% 66.7% 68.0 68.8 13.6% 33.3% 61.6 64.7 9.1% >90% North American Investment Grade 92.3 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Support 93.7 93.9 14.3% 22.2% 100.0 100.8 4.8% 66.7% 135.3 137.7 1.6% >90% Support 92.8 93.0 68.3% 67.4% 97.3 98.1 14.3% 77.8% 115.0 118.2 4.8% >90% Resistance 91.3 91.6 47.6% 70.0% 91.3 92.0 MET 74.6% 94.3 98.8 MET 30.6% Resistance 90.3 90.5 6.3% 75.0% 87.9 88.6 9.5% 83.3% 80.4 82.8 38.7% 70.8% DAX 5811.3 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance 5895.76 5904.62 10.4% 50.0% 6010.25 6034.51 19.5% 46.7% 6263.62 6319.86 19.5% 80.0% Resistance 5834.24 5849.72 29.9% 60.9% 5817.65 5864.83 MET 76.6% 5798.33 5892.07 MET 68.8% Support 5759.04 5767.89 61.0% 61.7% 5622.19 5663.87 29.9% 69.6% 5298.00 5354.24 9.1% 85.7% Support 5730.88 5739.74 19.5% 40.0% 5351.52 5380.62 9.1% 57.1% 5120.20 5176.44 0.0% #N/A CAN 10 Yr Note 3.4 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Support 3.452 3.456 15.0% <10% 3.519 3.534 30.0% 66.7% 3.521 3.552 40.0% 62.5% Support 3.428 3.436 30.0% 50.0% 3.439 3.456 65.0% 53.8% 3.419 3.449 MET 70.0% Resistance 3.391 3.399 45.0% 44.4% 3.276 3.298 25.0% >90% 3.088 3.121 5.0% <10% Resistance 3.374 3.378 20.0% 25.0% 3.214 3.231 0.0% #N/A 2.764 2.809 0.0% #N/A CAN 10 Yr USD 10Yr Spread -18.7 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Resistance -12.9 -12.2 27.6% 37.5% -2.1 -0.9 1.7% >90% 18.1 20.3 0.0% #N/A Resistance -15.7 -14.9 46.6% 33.3% -9.0 -7.7 20.7% 75.0% 8.5 12.0 1.7% >90% Support -21.7 -21.2 50.0% 44.8% -19.7 -17.4 MET 63.8% -10.2 -6.2 MET 31.0% Support -24.6 -24.1 22.4% 46.2% -25.6 -24.5 17.2% 50.0% -32.7 -30.5 27.6% 56.3%
  • 4. Arbor Quantitative Analytics Master Zones and Probabilities Report USD 2yr Swap Spread 36.4 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Support 38.9 39.2 21.4% 41.7% 42.0 42.8 16.1% 77.8% 50.5 52.0 7.1% >90% Zones 37.3 37.6 62.5% 42.9% 38.6 39.8 57.1% 65.6% 39.6 42.3 MET 82.1% Resistance 34.6 35.0 33.9% 63.2% 31.3 32.1 30.4% 47.1% 26.0 27.5 10.7% 66.7% Zones 33.5 33.8 10.7% 66.7% 27.7 28.5 8.9% 60.0% 21.3 22.8 1.8% >90% USD 5yr Swap Spread 38.9 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Support 41.6 41.8 24.3% 66.7% 42.4 43.0 5.4% >90% 41.8 43.0 24.3% 77.8% Zones 39.6 39.8 59.5% 45.5% 39.8 40.9 51.4% 47.4% 37.1 39.2 MET 56.8% Resistance 37.9 38.1 43.2% 25.0% 33.9 35.0 13.5% 60.0% 26.1 27.3 2.7% >90% Zones 36.6 36.9 18.9% 14.3% 31.3 32.0 2.7% <10% 21.6 22.9 0.0% #N/A USD 10yr Swap Spread 14.4 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Support 16.4 16.6 9.1% >90% 16.6 17.3 9.1% 50.0% 19.9 21.0 9.1% <10% Zones 15.1 15.3 63.6% 64.3% 14.4 15.1 MET 59.1% 15.2 17.4 MET >90% Resistance 13.0 13.3 22.7% 60.0% 9.6 10.2 9.1% >90% 4.8 5.9 4.5% <10% Zones 11.9 12.2 13.6% >90% 7.2 7.9 0.0% #N/A -4.3 -2.6 4.5% <10% USD 30yr Swap Spread -16.1 Daily Zones Odds of Testing Odds of Holding Weekly Zones Odds of Testing Odds of Holding Monthly Zones Odds of Testing Odds of Holding Support -13.9 -13.7 21.6% 52.6% -9.8 -9.2 6.8% 33.3% -3.9 -2.5 8.0% 71.4% Zones -14.9 -14.5 61.4% 59.3% -13.4 -12.7 37.5% 48.5% -10.7 -9.0 28.7% 64.0% Resistance -17.4 -17.0 47.7% 64.3% -19.8 -18.9 27.3% 62.5% -23.0 -20.4 48.3% 85.7% Zones -18.3 -18.0 10.2% 55.6% -23.5 -22.8 5.7% 80.0% -32.3 -30.4 6.9% >90%