E-mini S&P 500 Future March 2007


Trading Metrics calculated at close of trading on 20-Dec-2006
Day Change Summary
Previous Current
19-Dec-2006 20-Dec-2006 Change Change % Previous Week
Open 1,434.75 1,436.50 1.75 0.1% 1,422.50
High 1,440.50 1,440.50 0.00 0.0% 1,445.00
Low 1,426.50 1,434.00 7.50 0.5% 1,417.00
Close 1,436.25 1,435.25 -1.00 -0.1% 1,438.25
Range 14.00 6.50 -7.50 -53.6% 28.00
ATR 10.94 10.63 -0.32 -2.9% 0.00
Volume 690,259 987,742 297,483 43.1% 5,462,304
Daily Pivots for day following 20-Dec-2006
Classic Woodie Camarilla DeMark
R4 1,456.00 1,452.25 1,438.75
R3 1,449.50 1,445.75 1,437.00
R2 1,443.00 1,443.00 1,436.50
R1 1,439.25 1,439.25 1,435.75 1,438.00
PP 1,436.50 1,436.50 1,436.50 1,436.00
S1 1,432.75 1,432.75 1,434.75 1,431.50
S2 1,430.00 1,430.00 1,434.00
S3 1,423.50 1,426.25 1,433.50
S4 1,417.00 1,419.75 1,431.75
Weekly Pivots for week ending 15-Dec-2006
Classic Woodie Camarilla DeMark
R4 1,517.50 1,505.75 1,453.75
R3 1,489.50 1,477.75 1,446.00
R2 1,461.50 1,461.50 1,443.50
R1 1,449.75 1,449.75 1,440.75 1,455.50
PP 1,433.50 1,433.50 1,433.50 1,436.25
S1 1,421.75 1,421.75 1,435.75 1,427.50
S2 1,405.50 1,405.50 1,433.00
S3 1,377.50 1,393.75 1,430.50
S4 1,349.50 1,365.75 1,422.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,445.00 1,424.50 20.50 1.4% 11.00 0.8% 52% False False 976,588
10 1,445.00 1,416.25 28.75 2.0% 10.50 0.7% 66% False False 928,452
20 1,445.00 1,390.25 54.75 3.8% 11.25 0.8% 82% False False 477,768
40 1,445.00 1,377.50 67.50 4.7% 10.75 0.7% 86% False False 240,244
60 1,445.00 1,347.50 97.50 6.8% 10.50 0.7% 90% False False 160,435
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.05
Narrowest range in 10 trading days
Fibonacci Retracements and Extensions
4.250 1,468.00
2.618 1,457.50
1.618 1,451.00
1.000 1,447.00
0.618 1,444.50
HIGH 1,440.50
0.618 1,438.00
0.500 1,437.25
0.382 1,436.50
LOW 1,434.00
0.618 1,430.00
1.000 1,427.50
1.618 1,423.50
2.618 1,417.00
4.250 1,406.50
Fisher Pivots for day following 20-Dec-2006
Pivot 1 day 3 day
R1 1,437.25 1,435.25
PP 1,436.50 1,435.25
S1 1,436.00 1,435.25

These figures are updated between 7pm and 10pm EST after a trading day.

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