E-mini S&P 500 Future September 2011

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Trading Metrics calculated at close of trading on 02-Aug-2011
Day Change Summary Previous Current 01-Aug-2011 02-Aug-2011 Change Change % Previous Week Open 1,306.00 1,279.75 -26.25 -2.0% 1,330.00 High 1,309.75 1,285.00 -24.75 -1.9% 1,340.25 Low 1,270.25 1,246.75 -23.50 -1.9% 1,278.75 Close 1,279.75 1,247.25 -32.50 -2.5% 1,288.50 Range 39.50 38.25 -1.25 -3.2% 61.50 ATR 21.54 22.74 1.19 5.5% 0.00 Volume 3,020,116 3,293,753 273,637 9.1% 11,095,327
Daily Pivots for day following 02-Aug-2011 Classic Woodie Camarilla DeMark R4 1,374.50 1,349.00 1,268.25 R3 1,336.25 1,310.75 1,257.75 R2 1,298.00 1,298.00 1,254.25 R1 1,272.50 1,272.50 1,250.75 1,266.00 PP 1,259.75 1,259.75 1,259.75 1,256.50 S1 1,234.25 1,234.25 1,243.75 1,228.00 S2 1,221.50 1,221.50 1,240.25 S3 1,183.25 1,196.00 1,236.75 S4 1,145.00 1,157.75 1,226.25	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 1,328.50 1,246.75 81.75 6.6% 29.50 2.4% 1% False True 2,814,679 10 1,347.75 1,246.75 101.00 8.1% 23.50 1.9% 0% False True 2,247,867 20 1,354.50 1,246.75 107.75 8.6% 22.50 1.8% 0% False True 2,246,705 40 1,354.50 1,246.75 107.75 8.6% 20.50 1.7% 0% False True 2,150,423 60 1,354.50 1,246.75 107.75 8.6% 19.50 1.6% 0% False True 1,436,485 80 1,367.50 1,246.75 120.75 9.7% 18.50 1.5% 0% False True 1,077,804 100 1,367.50 1,237.25 130.25 10.4% 18.25 1.5% 8% False False 862,403 120 1,367.50 1,237.25 130.25 10.4% 18.00 1.4% 8% False False 718,680
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 4.80 Narrowest range in 2 trading days	Fibonacci Retracements and Extensions 4.250 1,447.50 2.618 1,385.25 1.618 1,347.00 1.000 1,323.25 0.618 1,308.75 HIGH 1,285.00 0.618 1,270.50 0.500 1,266.00 0.382 1,261.25 LOW 1,246.75 0.618 1,223.00 1.000 1,208.50 1.618 1,184.75 2.618 1,146.50 4.250 1,084.25
Fisher Pivots for day following 02-Aug-2011 Pivot 1 day 3 day R1 1,266.00 1,278.25 PP 1,259.75 1,268.00 S1 1,253.50 1,257.50

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