E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 26-Aug-2011
Day Change Summary
Previous Current
25-Aug-2011 26-Aug-2011 Change Change % Previous Week
Open 1,171.50 1,157.00 -14.50 -1.2% 1,122.00
High 1,188.50 1,179.75 -8.75 -0.7% 1,188.50
Low 1,153.00 1,132.75 -20.25 -1.8% 1,111.25
Close 1,157.50 1,176.00 18.50 1.6% 1,176.00
Range 35.50 47.00 11.50 32.4% 77.25
ATR 39.25 39.80 0.55 1.4% 0.00
Volume 3,198,280 3,053,686 -144,594 -4.5% 14,893,119
Daily Pivots for day following 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,303.75 1,287.00 1,201.75
R3 1,256.75 1,240.00 1,189.00
R2 1,209.75 1,209.75 1,184.50
R1 1,193.00 1,193.00 1,180.25 1,201.50
PP 1,162.75 1,162.75 1,162.75 1,167.00
S1 1,146.00 1,146.00 1,171.75 1,154.50
S2 1,115.75 1,115.75 1,167.50
S3 1,068.75 1,099.00 1,163.00
S4 1,021.75 1,052.00 1,150.25
Weekly Pivots for week ending 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,390.25 1,360.50 1,218.50
R3 1,313.00 1,283.25 1,197.25
R2 1,235.75 1,235.75 1,190.25
R1 1,206.00 1,206.00 1,183.00 1,221.00
PP 1,158.50 1,158.50 1,158.50 1,166.00
S1 1,128.75 1,128.75 1,169.00 1,143.50
S2 1,081.25 1,081.25 1,161.75
S3 1,004.00 1,051.50 1,154.75
S4 926.75 974.25 1,133.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,188.50 1,111.25 77.25 6.6% 38.75 3.3% 84% False False 2,978,623
10 1,206.50 1,111.25 95.25 8.1% 36.50 3.1% 68% False False 2,888,607
20 1,309.75 1,077.00 232.75 19.8% 48.00 4.1% 43% False False 3,682,818
40 1,354.50 1,077.00 277.50 23.6% 34.25 2.9% 36% False False 2,904,658
60 1,354.50 1,077.00 277.50 23.6% 29.00 2.5% 36% False False 2,557,838
80 1,354.50 1,077.00 277.50 23.6% 26.25 2.2% 36% False False 1,919,188
100 1,367.50 1,077.00 290.50 24.7% 23.75 2.0% 34% False False 1,535,679
120 1,367.50 1,077.00 290.50 24.7% 22.75 1.9% 34% False False 1,279,857
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 10.08
Widest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1,379.50
2.618 1,302.75
1.618 1,255.75
1.000 1,226.75
0.618 1,208.75
HIGH 1,179.75
0.618 1,161.75
0.500 1,156.25
0.382 1,150.75
LOW 1,132.75
0.618 1,103.75
1.000 1,085.75
1.618 1,056.75
2.618 1,009.75
4.250 933.00
Fisher Pivots for day following 26-Aug-2011
Pivot 1 day 3 day
R1 1,169.50 1,171.00
PP 1,162.75 1,165.75
S1 1,156.25 1,160.50

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

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