E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 29-Jun-2011
Day Change Summary
Previous Current
28-Jun-2011 29-Jun-2011 Change Change % Previous Week
Open 1,277.00 1,293.50 16.50 1.3% 1,265.00
High 1,295.00 1,305.50 10.50 0.8% 1,293.75
Low 1,271.50 1,291.50 20.00 1.6% 1,256.25
Close 1,294.50 1,304.25 9.75 0.8% 1,264.00
Range 23.50 14.00 -9.50 -40.4% 37.50
ATR 19.32 18.94 -0.38 -2.0% 0.00
Volume 1,912,881 2,488,363 575,482 30.1% 10,634,050
Daily Pivots for day following 29-Jun-2011
Classic Woodie Camarilla DeMark
R4 1,342.50 1,337.25 1,312.00
R3 1,328.50 1,323.25 1,308.00
R2 1,314.50 1,314.50 1,306.75
R1 1,309.25 1,309.25 1,305.50 1,312.00
PP 1,300.50 1,300.50 1,300.50 1,301.75
S1 1,295.25 1,295.25 1,303.00 1,298.00
S2 1,286.50 1,286.50 1,301.75
S3 1,272.50 1,281.25 1,300.50
S4 1,258.50 1,267.25 1,296.50
Weekly Pivots for week ending 24-Jun-2011
Classic Woodie Camarilla DeMark
R4 1,383.75 1,361.50 1,284.50
R3 1,346.25 1,324.00 1,274.25
R2 1,308.75 1,308.75 1,271.00
R1 1,286.50 1,286.50 1,267.50 1,279.00
PP 1,271.25 1,271.25 1,271.25 1,267.50
S1 1,249.00 1,249.00 1,260.50 1,241.50
S2 1,233.75 1,233.75 1,257.00
S3 1,196.25 1,211.50 1,253.75
S4 1,158.75 1,174.00 1,243.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,305.50 1,257.00 48.50 3.7% 21.75 1.7% 97% True False 2,281,339
10 1,305.50 1,252.25 53.25 4.1% 20.00 1.5% 98% True False 2,261,591
20 1,312.25 1,252.25 60.00 4.6% 18.75 1.4% 87% False False 1,771,186
40 1,352.75 1,252.25 100.50 7.7% 18.25 1.4% 52% False False 887,092
60 1,367.50 1,252.25 115.25 8.8% 16.75 1.3% 45% False False 591,919
80 1,367.50 1,237.25 130.25 10.0% 17.25 1.3% 51% False False 444,121
100 1,367.50 1,237.25 130.25 10.0% 16.75 1.3% 51% False False 355,309
120 1,367.50 1,237.25 130.25 10.0% 16.25 1.2% 51% False False 296,103
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 5.43
Narrowest range in 12 trading days
Fibonacci Retracements and Extensions
4.250 1,365.00
2.618 1,342.25
1.618 1,328.25
1.000 1,319.50
0.618 1,314.25
HIGH 1,305.50
0.618 1,300.25
0.500 1,298.50
0.382 1,296.75
LOW 1,291.50
0.618 1,282.75
1.000 1,277.50
1.618 1,268.75
2.618 1,254.75
4.250 1,232.00
Fisher Pivots for day following 29-Jun-2011
Pivot 1 day 3 day
R1 1,302.25 1,296.50
PP 1,300.50 1,289.00
S1 1,298.50 1,281.25

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

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