March Positions

From March 2007, I' going to start trading both S&P 500 and Russell 2000
contracts in the same account.

Trading vehicle for S&P 500 is ES on GLOBEX
Trading vehicle for Russell 2000 is ER2 on GLOBEX

In the above diagram, there are 3 Axes:

*) Vertical Axis is Profit/Loss percentage
*) Upper Horizontal Axis is the GLOBEX front contract ER2 value
*) Lower Horizontal Axis is the GLOBEX front contract ES value

Note: ES and ER2 Axes are scaled based on linear correlation ratio.

There are 3 data lines:

*) Red line: P/L on front month expiration date
*) Blue line (solid): P/L for today
*) Blue line (dotted): P/L for today + 10 calendar days

As for Risk Measurements:

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

1.6%	0.0%	7.5%	28.9%