E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 19-Jul-2011
Day Change Summary
Previous Current
18-Jul-2011 19-Jul-2011 Change Change % Previous Week
Open 1,314.50 1,301.50 -13.00 -1.0% 1,339.25
High 1,314.75 1,324.25 9.50 0.7% 1,339.50
Low 1,291.25 1,300.25 9.00 0.7% 1,295.25
Close 1,300.50 1,321.25 20.75 1.6% 1,315.00
Range 23.50 24.00 0.50 2.1% 44.25
ATR 20.01 20.30 0.28 1.4% 0.00
Volume 1,805,046 2,098,625 293,579 16.3% 12,805,123
Daily Pivots for day following 19-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,387.25 1,378.25 1,334.50
R3 1,363.25 1,354.25 1,327.75
R2 1,339.25 1,339.25 1,325.75
R1 1,330.25 1,330.25 1,323.50 1,334.75
PP 1,315.25 1,315.25 1,315.25 1,317.50
S1 1,306.25 1,306.25 1,319.00 1,310.75
S2 1,291.25 1,291.25 1,316.75
S3 1,267.25 1,282.25 1,314.75
S4 1,243.25 1,258.25 1,308.00
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 1,327.75 1,291.25 36.50 2.8% 20.75 1.6% 82% False False 2,278,611
10 1,354.50 1,291.25 63.25 4.8% 21.75 1.6% 47% False False 2,245,544
20 1,354.50 1,257.00 97.50 7.4% 20.50 1.5% 66% False False 2,179,136
40 1,354.50 1,252.25 102.25 7.7% 19.00 1.4% 67% False False 1,592,011
60 1,367.50 1,252.25 115.25 8.7% 18.00 1.4% 60% False False 1,062,116
80 1,367.50 1,252.25 115.25 8.7% 16.75 1.3% 60% False False 796,962
100 1,367.50 1,237.25 130.25 9.9% 18.00 1.4% 64% False False 637,628
120 1,367.50 1,237.25 130.25 9.9% 17.00 1.3% 64% False False 531,358
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.60
Widest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,426.25
2.618 1,387.00
1.618 1,363.00
1.000 1,348.25
0.618 1,339.00
HIGH 1,324.25
0.618 1,315.00
0.500 1,312.25
0.382 1,309.50
LOW 1,300.25
0.618 1,285.50
1.000 1,276.25
1.618 1,261.50
2.618 1,237.50
4.250 1,198.25
Fisher Pivots for day following 19-Jul-2011
Pivot 1 day 3 day
R1 1,318.25 1,316.75
PP 1,315.25 1,312.25
S1 1,312.25 1,307.75

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

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