E-mini S&P 500 Future September 2011

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Trading Metrics calculated at close of trading on 22-Jul-2011
Day Change Summary Previous Current 21-Jul-2011 22-Jul-2011 Change Change % Previous Week Open 1,321.75 1,341.25 19.50 1.5% 1,314.50 High 1,343.50 1,347.75 4.25 0.3% 1,347.75 Low 1,315.00 1,332.75 17.75 1.3% 1,291.25 Close 1,342.50 1,341.00 -1.50 -0.1% 1,341.00 Range 28.50 15.00 -13.50 -47.4% 56.50 ATR 20.23 19.86 -0.37 -1.8% 0.00 Volume 2,311,271 1,120,883 -1,190,388 -51.5% 8,973,146
Daily Pivots for day following 22-Jul-2011 Classic Woodie Camarilla DeMark R4 1,385.50 1,378.25 1,349.25 R3 1,370.50 1,363.25 1,345.00 R2 1,355.50 1,355.50 1,343.75 R1 1,348.25 1,348.25 1,342.50 1,344.50 PP 1,340.50 1,340.50 1,340.50 1,338.50 S1 1,333.25 1,333.25 1,339.50 1,329.50 S2 1,325.50 1,325.50 1,338.25 S3 1,310.50 1,318.25 1,337.00 S4 1,295.50 1,303.25 1,332.75	Weekly Pivots for week ending 22-Jul-2011 Classic Woodie Camarilla DeMark R4 1,496.25 1,475.00 1,372.00 R3 1,439.75 1,418.50 1,356.50 R2 1,383.25 1,383.25 1,351.25 R1 1,362.00 1,362.00 1,346.25 1,372.50 PP 1,326.75 1,326.75 1,326.75 1,332.00 S1 1,305.50 1,305.50 1,335.75 1,316.00 S2 1,270.25 1,270.25 1,330.75 S3 1,213.75 1,249.00 1,325.50 S4 1,157.25 1,192.50 1,310.00
High/Low/Range Statistics Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume 5 1,347.75 1,291.25 56.50 4.2% 20.25 1.5% 88% True False 1,794,629 10 1,347.75 1,291.25 56.50 4.2% 21.50 1.6% 88% True False 2,177,826 20 1,354.50 1,257.00 97.50 7.3% 20.25 1.5% 86% False False 2,069,643 40 1,354.50 1,252.25 102.25 7.6% 19.25 1.4% 87% False False 1,718,584 60 1,367.50 1,252.25 115.25 8.6% 18.25 1.4% 77% False False 1,146,498 80 1,367.50 1,252.25 115.25 8.6% 17.00 1.3% 77% False False 860,303 100 1,367.50 1,237.25 130.25 9.7% 17.75 1.3% 80% False False 688,315 120 1,367.50 1,237.25 130.25 9.7% 17.00 1.3% 80% False False 573,604
Crabel Price Patterns NR True NR4 False NR5 False NR7 False 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 4.33 Narrowest range in 2 trading days	Fibonacci Retracements and Extensions 4.250 1,411.50 2.618 1,387.00 1.618 1,372.00 1.000 1,362.75 0.618 1,357.00 HIGH 1,347.75 0.618 1,342.00 0.500 1,340.25 0.382 1,338.50 LOW 1,332.75 0.618 1,323.50 1.000 1,317.75 1.618 1,308.50 2.618 1,293.50 4.250 1,269.00
Fisher Pivots for day following 22-Jul-2011 Pivot 1 day 3 day R1 1,340.75 1,337.75 PP 1,340.50 1,334.50 S1 1,340.25 1,331.50

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