Added March Contracts

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

2.9%	1.3%	20.0%	66.4%

MPP = ~3.8%

Shift positions

Reduce MPP to 2.3%
Keep MPR as 1370-1470

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

1.9%	1.4%	15.0%	46.5%

Jan 2007 Contracts Expired

Jan 2007 Return: 5.6%

Current Feburary 2007 Positions:

MPP: 2.7%
MPR: 1370-1470

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

1.9%	0.6%	10.4%	32.3%

3 days to go

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

1.8%	0.5%	8.0%	64.0%

More Feburary Contracts

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

1.9%	0.6%	10.1%	56.8%

Risk Measurement as of Today

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

1.5%	0.0%	13.5%	53.8%

Added Feburary Contracts

01/19 expiration date MPR: 1370-1470
01/19 expiration date MPP: 1.5% - 4.5%

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

2.6%	1.2%	16.9%	50.7%

Shift Positions

Extend MPR to 1370 - 1470
Reduce MPP to ~3.5%

10d,Theta: 1.5%

10d,65% VAR: 0.0%
10d,95% VAR: 7.4%
10d,99% VAR: 31.0%

Happy New Year