E-mini S&P 500 Future September 2007


Trading Metrics calculated at close of trading on 31-Jul-2007
Day Change Summary
Previous Current
30-Jul-2007 31-Jul-2007 Change Change % Previous Week
Open 1,460.00 1,480.50 20.50 1.4% 1,543.75
High 1,484.75 1,495.75 11.00 0.7% 1,556.25
Low 1,455.00 1,456.25 1.25 0.1% 1,457.25
Close 1,480.75 1,462.00 -18.75 -1.3% 1,458.00
Range 29.75 39.50 9.75 32.8% 99.00
ATR 22.97 24.15 1.18 5.1% 0.00
Volume 3,043,045 2,212,883 -830,162 -27.3% 11,477,798
Daily Pivots for day following 31-Jul-2007
Classic Woodie Camarilla DeMark
R4 1,589.75 1,565.50 1,483.75
R3 1,550.25 1,526.00 1,472.75
R2 1,510.75 1,510.75 1,469.25
R1 1,486.50 1,486.50 1,465.50 1,479.00
PP 1,471.25 1,471.25 1,471.25 1,467.50
S1 1,447.00 1,447.00 1,458.50 1,439.50
S2 1,431.75 1,431.75 1,454.75
S3 1,392.25 1,407.50 1,451.25
S4 1,352.75 1,368.00 1,440.25
Weekly Pivots for week ending 27-Jul-2007
Classic Woodie Camarilla DeMark
R4 1,787.50 1,721.75 1,512.50
R3 1,688.50 1,622.75 1,485.25
R2 1,589.50 1,589.50 1,476.25
R1 1,523.75 1,523.75 1,467.00 1,507.00
PP 1,490.50 1,490.50 1,490.50 1,482.25
S1 1,424.75 1,424.75 1,449.00 1,408.00
S2 1,391.50 1,391.50 1,439.75
S3 1,292.50 1,325.75 1,430.75
S4 1,193.50 1,226.75 1,403.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,532.25 1,455.00 77.25 5.3% 37.75 2.6% 9% False False 2,678,641
10 1,565.00 1,455.00 110.00 7.5% 29.25 2.0% 6% False False 2,145,152
20 1,566.25 1,455.00 111.25 7.6% 21.75 1.5% 6% False False 1,633,273
40 1,566.25 1,455.00 111.25 7.6% 21.25 1.4% 6% False False 1,555,436
60 1,566.25 1,455.00 111.25 7.6% 18.25 1.2% 6% False False 1,038,798
80 1,566.25 1,455.00 111.25 7.6% 16.25 1.1% 6% False False 779,309
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 5.58
Widest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,663.50
2.618 1,599.25
1.618 1,559.75
1.000 1,535.25
0.618 1,520.25
HIGH 1,495.75
0.618 1,480.75
0.500 1,476.00
0.382 1,471.25
LOW 1,456.25
0.618 1,431.75
1.000 1,416.75
1.618 1,392.25
2.618 1,352.75
4.250 1,288.50
Fisher Pivots for day following 31-Jul-2007
Pivot 1 day 3 day
R1 1,476.00 1,475.75
PP 1,471.25 1,471.25
S1 1,466.75 1,466.50

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

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