E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 15-Aug-2011
Day Change Summary
Previous Current
12-Aug-2011 15-Aug-2011 Change Change % Previous Week
Open 1,168.25 1,179.75 11.50 1.0% 1,167.25
High 1,186.75 1,201.75 15.00 1.3% 1,189.00
Low 1,146.75 1,176.25 29.50 2.6% 1,077.00
Close 1,176.75 1,198.50 21.75 1.8% 1,176.75
Range 40.00 25.50 -14.50 -36.3% 112.00
ATR 42.30 41.10 -1.20 -2.8% 0.00
Volume 2,715,118 1,989,756 -725,362 -26.7% 24,524,566
Daily Pivots for day following 15-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,268.75 1,259.00 1,212.50
R3 1,243.25 1,233.50 1,205.50
R2 1,217.75 1,217.75 1,203.25
R1 1,208.00 1,208.00 1,200.75 1,213.00
PP 1,192.25 1,192.25 1,192.25 1,194.50
S1 1,182.50 1,182.50 1,196.25 1,187.50
S2 1,166.75 1,166.75 1,193.75
S3 1,141.25 1,157.00 1,191.50
S4 1,115.75 1,131.50 1,184.50
Weekly Pivots for week ending 12-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,483.50 1,442.25 1,238.25
R3 1,371.50 1,330.25 1,207.50
R2 1,259.50 1,259.50 1,197.25
R1 1,218.25 1,218.25 1,187.00 1,239.00
PP 1,147.50 1,147.50 1,147.50 1,158.00
S1 1,106.25 1,106.25 1,166.50 1,127.00
S2 1,035.50 1,035.50 1,156.25
S3 923.50 994.25 1,146.00
S4 811.50 882.25 1,115.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,201.75 1,077.00 124.75 10.4% 62.00 5.2% 97% True False 4,068,555
10 1,285.00 1,077.00 208.00 17.4% 58.25 4.9% 58% False False 4,373,993
20 1,347.75 1,077.00 270.75 22.6% 40.00 3.3% 45% False False 3,251,173
40 1,354.50 1,077.00 277.50 23.2% 30.25 2.5% 44% False False 2,704,564
60 1,354.50 1,077.00 277.50 23.2% 26.00 2.2% 44% False False 2,110,117
80 1,367.50 1,077.00 290.50 24.2% 23.25 1.9% 42% False False 1,583,164
100 1,367.50 1,077.00 290.50 24.2% 21.50 1.8% 42% False False 1,266,830
120 1,367.50 1,077.00 290.50 24.2% 21.50 1.8% 42% False False 1,055,730
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 15.20
Narrowest range in 11 trading days
Fibonacci Retracements and Extensions
4.250 1,310.00
2.618 1,268.50
1.618 1,243.00
1.000 1,227.25
0.618 1,217.50
HIGH 1,201.75
0.618 1,192.00
0.500 1,189.00
0.382 1,186.00
LOW 1,176.25
0.618 1,160.50
1.000 1,150.75
1.618 1,135.00
2.618 1,109.50
4.250 1,068.00
Fisher Pivots for day following 15-Aug-2011
Pivot 1 day 3 day
R1 1,195.25 1,183.00
PP 1,192.25 1,167.75
S1 1,189.00 1,152.50

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

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