E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 16-Aug-2011
Day Change Summary
Previous Current
15-Aug-2011 16-Aug-2011 Change Change % Previous Week
Open 1,179.75 1,196.50 16.75 1.4% 1,167.25
High 1,201.75 1,201.50 -0.25 0.0% 1,189.00
Low 1,176.25 1,177.50 1.25 0.1% 1,077.00
Close 1,198.50 1,192.25 -6.25 -0.5% 1,176.75
Range 25.50 24.00 -1.50 -5.9% 112.00
ATR 41.10 39.88 -1.22 -3.0% 0.00
Volume 1,989,756 2,546,769 557,013 28.0% 24,524,566
Daily Pivots for day following 16-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,262.50 1,251.25 1,205.50
R3 1,238.50 1,227.25 1,198.75
R2 1,214.50 1,214.50 1,196.75
R1 1,203.25 1,203.25 1,194.50 1,197.00
PP 1,190.50 1,190.50 1,190.50 1,187.25
S1 1,179.25 1,179.25 1,190.00 1,173.00
S2 1,166.50 1,166.50 1,187.75
S3 1,142.50 1,155.25 1,185.75
S4 1,118.50 1,131.25 1,179.00
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 1,103.00 98.75 8.3% 47.00 4.0% 90% False False 3,322,102
10 1,264.25 1,077.00 187.25 15.7% 56.75 4.8% 62% False False 4,299,294
20 1,347.75 1,077.00 270.75 22.7% 40.00 3.4% 43% False False 3,273,580
40 1,354.50 1,077.00 277.50 23.3% 30.25 2.5% 42% False False 2,726,358
60 1,354.50 1,077.00 277.50 23.3% 26.00 2.2% 42% False False 2,152,534
80 1,367.50 1,077.00 290.50 24.4% 23.50 2.0% 40% False False 1,614,982
100 1,367.50 1,077.00 290.50 24.4% 21.50 1.8% 40% False False 1,292,286
120 1,367.50 1,077.00 290.50 24.4% 21.75 1.8% 40% False False 1,076,953
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 15.18
Narrowest range in 12 trading days
Fibonacci Retracements and Extensions
4.250 1,303.50
2.618 1,264.25
1.618 1,240.25
1.000 1,225.50
0.618 1,216.25
HIGH 1,201.50
0.618 1,192.25
0.500 1,189.50
0.382 1,186.75
LOW 1,177.50
0.618 1,162.75
1.000 1,153.50
1.618 1,138.75
2.618 1,114.75
4.250 1,075.50
Fisher Pivots for day following 16-Aug-2011
Pivot 1 day 3 day
R1 1,191.25 1,186.25
PP 1,190.50 1,180.25
S1 1,189.50 1,174.25

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

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