E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 07-Sep-2011
Day Change Summary
Previous Current
06-Sep-2011 07-Sep-2011 Change Change % Previous Week
Open 1,165.00 1,164.50 -0.50 0.0% 1,175.50
High 1,166.75 1,199.75 33.00 2.8% 1,229.75
Low 1,136.00 1,163.75 27.75 2.4% 1,168.50
Close 1,164.50 1,199.00 34.50 3.0% 1,169.25
Range 30.75 36.00 5.25 17.1% 61.25
ATR 36.68 36.63 -0.05 -0.1% 0.00
Volume 2,427,798 2,578,150 150,352 6.2% 12,642,167
Daily Pivots for day following 07-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,295.50 1,283.25 1,218.75
R3 1,259.50 1,247.25 1,209.00
R2 1,223.50 1,223.50 1,205.50
R1 1,211.25 1,211.25 1,202.25 1,217.50
PP 1,187.50 1,187.50 1,187.50 1,190.50
S1 1,175.25 1,175.25 1,195.75 1,181.50
S2 1,151.50 1,151.50 1,192.50
S3 1,115.50 1,139.25 1,189.00
S4 1,079.50 1,103.25 1,179.25
Weekly Pivots for week ending 02-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,373.00 1,332.25 1,203.00
R3 1,311.75 1,271.00 1,186.00
R2 1,250.50 1,250.50 1,180.50
R1 1,209.75 1,209.75 1,174.75 1,199.50
PP 1,189.25 1,189.25 1,189.25 1,184.00
S1 1,148.50 1,148.50 1,163.75 1,138.25
S2 1,128.00 1,128.00 1,158.00
S3 1,066.75 1,087.25 1,152.50
S4 1,005.50 1,026.00 1,135.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,229.75 1,136.00 93.75 7.8% 31.50 2.6% 67% False False 2,647,965
10 1,229.75 1,132.75 97.00 8.1% 33.50 2.8% 68% False False 2,650,504
20 1,229.75 1,103.00 126.75 10.6% 38.50 3.2% 76% False False 2,930,408
40 1,347.75 1,077.00 270.75 22.6% 36.00 3.0% 45% False False 2,971,558
60 1,354.50 1,077.00 277.50 23.1% 31.00 2.6% 44% False False 2,746,422
80 1,354.50 1,077.00 277.50 23.1% 27.25 2.3% 44% False False 2,139,635
100 1,367.50 1,077.00 290.50 24.2% 25.00 2.1% 42% False False 1,712,067
120 1,367.50 1,077.00 290.50 24.2% 23.25 1.9% 42% False False 1,426,920
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 8.85
Widest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1,352.75
2.618 1,294.00
1.618 1,258.00
1.000 1,235.75
0.618 1,222.00
HIGH 1,199.75
0.618 1,186.00
0.500 1,181.75
0.382 1,177.50
LOW 1,163.75
0.618 1,141.50
1.000 1,127.75
1.618 1,105.50
2.618 1,069.50
4.250 1,010.75
Fisher Pivots for day following 07-Sep-2011
Pivot 1 day 3 day
R1 1,193.25 1,189.25
PP 1,187.50 1,179.50
S1 1,181.75 1,169.50

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

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