E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 09-Aug-2011
Day Change Summary
Previous Current
08-Aug-2011 09-Aug-2011 Change Change % Previous Week
Open 1,163.50 1,106.00 -57.50 -4.9% 1,295.25
High 1,183.00 1,169.50 -13.50 -1.1% 1,304.00
Low 1,104.00 1,071.50 -32.50 -2.9% 1,158.00
Close 1,105.50 1,166.00 60.50 5.5% 1,192.00
Range 79.00 98.00 19.00 24.1% 146.00
ATR 32.38 37.06 4.69 14.5% 0.00
Volume 11,683 12,242 559 4.8% 23,592
Daily Pivots for day following 09-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,429.75 1,395.75 1,220.00
R3 1,331.75 1,297.75 1,193.00
R2 1,233.75 1,233.75 1,184.00
R1 1,199.75 1,199.75 1,175.00 1,216.75
PP 1,135.75 1,135.75 1,135.75 1,144.00
S1 1,101.75 1,101.75 1,157.00 1,118.75
S2 1,037.75 1,037.75 1,148.00
S3 939.75 1,003.75 1,139.00
S4 841.75 905.75 1,112.00
Weekly Pivots for week ending 05-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,656.00 1,570.00 1,272.25
R3 1,510.00 1,424.00 1,232.25
R2 1,364.00 1,364.00 1,218.75
R1 1,278.00 1,278.00 1,205.50 1,248.00
PP 1,218.00 1,218.00 1,218.00 1,203.00
S1 1,132.00 1,132.00 1,178.50 1,102.00
S2 1,072.00 1,072.00 1,165.25
S3 926.00 986.00 1,151.75
S4 780.00 840.00 1,111.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,258.25 1,071.50 186.75 16.0% 66.00 5.7% 51% False True 8,637
10 1,322.75 1,071.50 251.25 21.5% 47.50 4.1% 38% False True 5,305
20 1,342.00 1,071.50 270.50 23.2% 33.00 2.8% 35% False True 3,709
40 1,348.75 1,071.50 277.25 23.8% 26.50 2.3% 34% False True 2,401
60 1,348.75 1,071.50 277.25 23.8% 22.50 1.9% 34% False True 1,642
80 1,361.00 1,071.50 289.50 24.8% 20.50 1.8% 33% False True 1,287
100 1,361.00 1,071.50 289.50 24.8% 18.75 1.6% 33% False True 1,055
120 1,361.00 1,071.50 289.50 24.8% 16.75 1.4% 33% False True 891
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 11.88
Widest range in 137 trading days
Fibonacci Retracements and Extensions
4.250 1,586.00
2.618 1,426.00
1.618 1,328.00
1.000 1,267.50
0.618 1,230.00
HIGH 1,169.50
0.618 1,132.00
0.500 1,120.50
0.382 1,109.00
LOW 1,071.50
0.618 1,011.00
1.000 973.50
1.618 913.00
2.618 815.00
4.250 655.00
Fisher Pivots for day following 09-Aug-2011
Pivot 1 day 3 day
R1 1,150.75 1,158.00
PP 1,135.75 1,150.25
S1 1,120.50 1,142.25

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

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