E-mini S&P 500 Future September 2011

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Trading Metrics calculated at close of trading on 15-Jul-2011
Day Change Summary Previous Current 14-Jul-2011 15-Jul-2011 Change Change % Previous Week Open 1,312.25 1,307.75 -4.50 -0.3% 1,339.25 High 1,323.25 1,315.50 -7.75 -0.6% 1,339.50 Low 1,302.00 1,300.50 -1.50 -0.1% 1,295.25 Close 1,306.75 1,315.00 8.25 0.6% 1,315.00 Range 21.25 15.00 -6.25 -29.4% 44.25 ATR 20.09 19.72 -0.36 -1.8% 0.00 Volume 2,877,782 2,296,513 -581,269 -20.2% 12,805,123
Daily Pivots for day following 15-Jul-2011 Classic Woodie Camarilla DeMark R4 1,355.25 1,350.25 1,323.25 R3 1,340.25 1,335.25 1,319.00 R2 1,325.25 1,325.25 1,317.75 R1 1,320.25 1,320.25 1,316.50 1,322.75 PP 1,310.25 1,310.25 1,310.25 1,311.50 S1 1,305.25 1,305.25 1,313.50 1,307.75 S2 1,295.25 1,295.25 1,312.25 S3 1,280.25 1,290.25 1,311.00 S4 1,265.25 1,275.25 1,306.75	Weekly Pivots for week ending 15-Jul-2011 Classic Woodie Camarilla DeMark R4 1,449.25 1,426.50 1,339.25 R3 1,405.00 1,382.25 1,327.25 R2 1,360.75 1,360.75 1,323.00 R1 1,338.00 1,338.00 1,319.00 1,327.25 PP 1,316.50 1,316.50 1,316.50 1,311.25 S1 1,293.75 1,293.75 1,311.00 1,283.00 S2 1,272.25 1,272.25 1,307.00 S3 1,228.00 1,249.50 1,302.75 S4 1,183.75 1,205.25 1,290.75
High/Low/Range Statistics Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume 5 1,339.50 1,295.25 44.25 3.4% 22.50 1.7% 45% False False 2,561,024 10 1,354.50 1,295.25 59.25 4.5% 20.25 1.5% 33% False False 2,246,151 20 1,354.50 1,256.25 98.25 7.5% 20.00 1.5% 60% False False 2,184,447 40 1,354.50 1,252.25 102.25 7.8% 18.50 1.4% 61% False False 1,494,573 60 1,367.50 1,252.25 115.25 8.8% 17.75 1.3% 54% False False 997,086 80 1,367.50 1,252.25 115.25 8.8% 16.75 1.3% 54% False False 748,184 100 1,367.50 1,237.25 130.25 9.9% 17.75 1.4% 60% False False 598,592 120 1,367.50 1,237.25 130.25 9.9% 17.00 1.3% 60% False False 498,828
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 4.00 Narrowest range in 7 trading days	Fibonacci Retracements and Extensions 4.250 1,379.25 2.618 1,354.75 1.618 1,339.75 1.000 1,330.50 0.618 1,324.75 HIGH 1,315.50 0.618 1,309.75 0.500 1,308.00 0.382 1,306.25 LOW 1,300.50 0.618 1,291.25 1.000 1,285.50 1.618 1,276.25 2.618 1,261.25 4.250 1,236.75
Fisher Pivots for day following 15-Jul-2011 Pivot 1 day 3 day R1 1,312.75 1,314.75 PP 1,310.25 1,314.50 S1 1,308.00 1,314.00

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