E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 30-Aug-2011
Day Change Summary
Previous Current
29-Aug-2011 30-Aug-2011 Change Change % Previous Week
Open 1,175.50 1,208.00 32.50 2.8% 1,122.00
High 1,208.75 1,218.75 10.00 0.8% 1,188.50
Low 1,172.25 1,193.50 21.25 1.8% 1,111.25
Close 1,208.00 1,204.75 -3.25 -0.3% 1,176.00
Range 36.50 25.25 -11.25 -30.8% 77.25
ATR 39.57 38.55 -1.02 -2.6% 0.00
Volume 1,832,857 2,575,430 742,573 40.5% 14,893,119
Daily Pivots for day following 30-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,281.50 1,268.25 1,218.75
R3 1,256.25 1,243.00 1,211.75
R2 1,231.00 1,231.00 1,209.50
R1 1,217.75 1,217.75 1,207.00 1,211.75
PP 1,205.75 1,205.75 1,205.75 1,202.50
S1 1,192.50 1,192.50 1,202.50 1,186.50
S2 1,180.50 1,180.50 1,200.00
S3 1,155.25 1,167.25 1,197.75
S4 1,130.00 1,142.00 1,190.75
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 1,218.75 1,132.75 86.00 7.1% 35.75 3.0% 84% True False 2,653,044
10 1,218.75 1,111.25 107.50 8.9% 37.75 3.1% 87% True False 2,875,783
20 1,264.25 1,077.00 187.25 15.5% 47.25 3.9% 68% False False 3,587,539
40 1,354.50 1,077.00 277.50 23.0% 35.00 2.9% 46% False False 2,917,122
60 1,354.50 1,077.00 277.50 23.0% 29.50 2.5% 46% False False 2,629,462
80 1,354.50 1,077.00 277.50 23.0% 26.50 2.2% 46% False False 1,974,248
100 1,367.50 1,077.00 290.50 24.1% 24.25 2.0% 44% False False 1,579,751
120 1,367.50 1,077.00 290.50 24.1% 23.00 1.9% 44% False False 1,316,592
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 10.63
Narrowest range in 9 trading days
Fibonacci Retracements and Extensions
4.250 1,326.00
2.618 1,284.75
1.618 1,259.50
1.000 1,244.00
0.618 1,234.25
HIGH 1,218.75
0.618 1,209.00
0.500 1,206.00
0.382 1,203.25
LOW 1,193.50
0.618 1,178.00
1.000 1,168.25
1.618 1,152.75
2.618 1,127.50
4.250 1,086.25
Fisher Pivots for day following 30-Aug-2011
Pivot 1 day 3 day
R1 1,206.00 1,195.00
PP 1,205.75 1,185.50
S1 1,205.25 1,175.75

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

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