E-mini S&P 500 Future September 2011

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Trading Metrics calculated at close of trading on 01-Aug-2011
Day Change Summary Previous Current 29-Jul-2011 01-Aug-2011 Change Change % Previous Week Open 1,297.75 1,306.00 8.25 0.6% 1,330.00 High 1,300.75 1,309.75 9.00 0.7% 1,340.25 Low 1,278.75 1,270.25 -8.50 -0.7% 1,278.75 Close 1,288.50 1,279.75 -8.75 -0.7% 1,288.50 Range 22.00 39.50 17.50 79.5% 61.50 ATR 20.16 21.54 1.38 6.9% 0.00 Volume 2,886,161 3,020,116 133,955 4.6% 11,095,327
Daily Pivots for day following 01-Aug-2011 Classic Woodie Camarilla DeMark R4 1,405.00 1,382.00 1,301.50 R3 1,365.50 1,342.50 1,290.50 R2 1,326.00 1,326.00 1,287.00 R1 1,303.00 1,303.00 1,283.25 1,294.75 PP 1,286.50 1,286.50 1,286.50 1,282.50 S1 1,263.50 1,263.50 1,276.25 1,255.25 S2 1,247.00 1,247.00 1,272.50 S3 1,207.50 1,224.00 1,269.00 S4 1,168.00 1,184.50 1,258.00	Weekly Pivots for week ending 29-Jul-2011 Classic Woodie Camarilla DeMark R4 1,487.00 1,449.25 1,322.25 R3 1,425.50 1,387.75 1,305.50 R2 1,364.00 1,364.00 1,299.75 R1 1,326.25 1,326.25 1,294.25 1,314.50 PP 1,302.50 1,302.50 1,302.50 1,296.50 S1 1,264.75 1,264.75 1,282.75 1,253.00 S2 1,241.00 1,241.00 1,277.25 S3 1,179.50 1,203.25 1,271.50 S4 1,118.00 1,141.75 1,254.75
High/Low/Range Statistics Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume 5 1,339.75 1,270.25 69.50 5.4% 24.75 1.9% 14% False True 2,495,446 10 1,347.75 1,270.25 77.50 6.1% 22.00 1.7% 12% False True 2,128,354 20 1,354.50 1,270.25 84.25 6.6% 21.00 1.6% 11% False True 2,179,774 40 1,354.50 1,252.25 102.25 8.0% 20.00 1.6% 27% False False 2,070,131 60 1,354.50 1,252.25 102.25 8.0% 19.25 1.5% 27% False False 1,381,637 80 1,367.50 1,252.25 115.25 9.0% 18.00 1.4% 24% False False 1,036,638 100 1,367.50 1,237.25 130.25 10.2% 18.00 1.4% 33% False False 829,466 120 1,367.50 1,237.25 130.25 10.2% 17.75 1.4% 33% False False 691,232
Crabel Price Patterns NR False NR4 False NR5 False NR7 False WS True WS4 True WS5 True WS7 True ID False OD True IDnr4 False 2BNR False 3BNR False 4BNR False 8BNR False Bear Hook False Bull Hook False Stretch 4.40 Widest range in 96 trading days	Fibonacci Retracements and Extensions 4.250 1,477.50 2.618 1,413.25 1.618 1,373.75 1.000 1,349.25 0.618 1,334.25 HIGH 1,309.75 0.618 1,294.75 0.500 1,290.00 0.382 1,285.25 LOW 1,270.25 0.618 1,245.75 1.000 1,230.75 1.618 1,206.25 2.618 1,166.75 4.250 1,102.50
Fisher Pivots for day following 01-Aug-2011 Pivot 1 day 3 day R1 1,290.00 1,291.50 PP 1,286.50 1,287.75 S1 1,283.25 1,283.75

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