E-mini S&P 500 Future September 2010


Trading Metrics calculated at close of trading on 01-Sep-2010
Day Change Summary
Previous Current
31-Aug-2010 01-Sep-2010 Change Change % Previous Week
Open 1,045.00 1,051.75 6.75 0.6% 1,070.00
High 1,054.25 1,082.50 28.25 2.7% 1,080.25
Low 1,037.50 1,050.75 13.25 1.3% 1,037.00
Close 1,048.25 1,081.75 33.50 3.2% 1,063.75
Range 16.75 31.75 15.00 89.6% 43.25
ATR 20.53 21.51 0.98 4.8% 0.00
Volume 2,516,451 2,356,116 -160,335 -6.4% 11,017,029
Daily Pivots for day following 01-Sep-2010
Classic Woodie Camarilla DeMark
R4 1,167.00 1,156.00 1,099.25
R3 1,135.25 1,124.25 1,090.50
R2 1,103.50 1,103.50 1,087.50
R1 1,092.50 1,092.50 1,084.75 1,098.00
PP 1,071.75 1,071.75 1,071.75 1,074.50
S1 1,060.75 1,060.75 1,078.75 1,066.25
S2 1,040.00 1,040.00 1,076.00
S3 1,008.25 1,029.00 1,073.00
S4 976.50 997.25 1,064.25
Weekly Pivots for week ending 27-Aug-2010
Classic Woodie Camarilla DeMark
R4 1,190.00 1,170.25 1,087.50
R3 1,146.75 1,127.00 1,075.75
R2 1,103.50 1,103.50 1,071.75
R1 1,083.75 1,083.75 1,067.75 1,072.00
PP 1,060.25 1,060.25 1,060.25 1,054.50
S1 1,040.50 1,040.50 1,059.75 1,028.75
S2 1,017.00 1,017.00 1,055.75
S3 973.75 997.25 1,051.75
S4 930.50 954.00 1,040.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,082.50 1,037.25 45.25 4.2% 24.50 2.3% 98% True False 2,178,040
10 1,095.00 1,037.00 58.00 5.4% 22.25 2.1% 77% False False 2,161,752
20 1,127.75 1,037.00 90.75 8.4% 20.50 1.9% 49% False False 1,982,589
40 1,127.75 1,037.00 90.75 8.4% 20.00 1.8% 49% False False 1,980,271
60 1,129.50 1,002.75 126.75 11.7% 21.25 2.0% 62% False False 2,048,076
80 1,170.00 1,002.75 167.25 15.5% 23.50 2.2% 47% False False 1,541,720
100 1,211.50 1,002.75 208.75 19.3% 24.00 2.2% 38% False False 1,233,977
120 1,211.50 1,002.75 208.75 19.3% 21.75 2.0% 38% False False 1,028,510
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.68
Widest range in 15 trading days
Fibonacci Retracements and Extensions
4.250 1,217.50
2.618 1,165.50
1.618 1,133.75
1.000 1,114.25
0.618 1,102.00
HIGH 1,082.50
0.618 1,070.25
0.500 1,066.50
0.382 1,063.00
LOW 1,050.75
0.618 1,031.25
1.000 1,019.00
1.618 999.50
2.618 967.75
4.250 915.75
Fisher Pivots for day following 01-Sep-2010
Pivot 1 day 3 day
R1 1,076.75 1,074.50
PP 1,071.75 1,067.25
S1 1,066.50 1,060.00

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

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