| Trading Metrics calculated at close of trading on 30-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Sep-2011 |
30-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
2,156.0 |
2,193.0 |
37.0 |
1.7% |
1,994.0 |
| High |
2,223.0 |
2,195.0 |
-28.0 |
-1.3% |
2,223.0 |
| Low |
2,149.0 |
2,140.0 |
-9.0 |
-0.4% |
1,965.0 |
| Close |
2,203.0 |
2,148.0 |
-55.0 |
-2.5% |
2,148.0 |
| Range |
74.0 |
55.0 |
-19.0 |
-25.7% |
258.0 |
| ATR |
93.4 |
91.2 |
-2.2 |
-2.3% |
0.0 |
| Volume |
1,432,614 |
1,466,243 |
33,629 |
2.3% |
8,251,335 |
|
| Daily Pivots for day following 30-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
2,326.0 |
2,292.0 |
2,178.3 |
|
| R3 |
2,271.0 |
2,237.0 |
2,163.1 |
|
| R2 |
2,216.0 |
2,216.0 |
2,158.1 |
|
| R1 |
2,182.0 |
2,182.0 |
2,153.0 |
2,171.5 |
| PP |
2,161.0 |
2,161.0 |
2,161.0 |
2,155.8 |
| S1 |
2,127.0 |
2,127.0 |
2,143.0 |
2,116.5 |
| S2 |
2,106.0 |
2,106.0 |
2,137.9 |
|
| S3 |
2,051.0 |
2,072.0 |
2,132.9 |
|
| S4 |
1,996.0 |
2,017.0 |
2,117.8 |
|
|
| Weekly Pivots for week ending 30-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
2,886.0 |
2,775.0 |
2,289.9 |
|
| R3 |
2,628.0 |
2,517.0 |
2,219.0 |
|
| R2 |
2,370.0 |
2,370.0 |
2,195.3 |
|
| R1 |
2,259.0 |
2,259.0 |
2,171.7 |
2,314.5 |
| PP |
2,112.0 |
2,112.0 |
2,112.0 |
2,139.8 |
| S1 |
2,001.0 |
2,001.0 |
2,124.4 |
2,056.5 |
| S2 |
1,854.0 |
1,854.0 |
2,100.7 |
|
| S3 |
1,596.0 |
1,743.0 |
2,077.1 |
|
| S4 |
1,338.0 |
1,485.0 |
2,006.1 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
2,223.0 |
1,965.0 |
258.0 |
12.0% |
86.0 |
4.0% |
71% |
False |
False |
1,650,267 |
| 10 |
2,223.0 |
1,924.0 |
299.0 |
13.9% |
81.8 |
3.8% |
75% |
False |
False |
1,625,208 |
| 20 |
2,262.0 |
1,924.0 |
338.0 |
15.7% |
81.8 |
3.8% |
66% |
False |
False |
1,293,032 |
| 40 |
2,445.0 |
1,924.0 |
521.0 |
24.3% |
93.0 |
4.3% |
43% |
False |
False |
656,095 |
| 60 |
2,852.0 |
1,924.0 |
928.0 |
43.2% |
83.2 |
3.9% |
24% |
False |
False |
438,465 |
| 80 |
2,887.0 |
1,924.0 |
963.0 |
44.8% |
74.0 |
3.4% |
23% |
False |
False |
331,689 |
| 100 |
2,902.0 |
1,924.0 |
978.0 |
45.5% |
67.2 |
3.1% |
23% |
False |
False |
265,919 |
| 120 |
2,969.0 |
1,924.0 |
1,045.0 |
48.6% |
61.6 |
2.9% |
21% |
False |
False |
221,655 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
2,428.8 |
|
2.618 |
2,339.0 |
|
1.618 |
2,284.0 |
|
1.000 |
2,250.0 |
|
0.618 |
2,229.0 |
|
HIGH |
2,195.0 |
|
0.618 |
2,174.0 |
|
0.500 |
2,167.5 |
|
0.382 |
2,161.0 |
|
LOW |
2,140.0 |
|
0.618 |
2,106.0 |
|
1.000 |
2,085.0 |
|
1.618 |
2,051.0 |
|
2.618 |
1,996.0 |
|
4.250 |
1,906.3 |
|
|
| Fisher Pivots for day following 30-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
2,167.5 |
2,178.0 |
| PP |
2,161.0 |
2,168.0 |
| S1 |
2,154.5 |
2,158.0 |
|