E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 14-Sep-2011
Day Change Summary
Previous Current
13-Sep-2011 14-Sep-2011 Change Change % Previous Week
Open 1,156.75 1,165.50 8.75 0.8% 1,161.00
High 1,170.50 1,196.25 25.75 2.2% 1,198.00
Low 1,139.00 1,148.00 9.00 0.8% 1,130.50
Close 1,165.25 1,182.25 17.00 1.5% 1,152.25
Range 31.50 48.25 16.75 53.2% 67.50
ATR 35.58 36.48 0.91 2.5% 0.00
Volume 3,690,918 3,543,308 -147,610 -4.0% 4,799,853
Daily Pivots for day following 14-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,320.25 1,299.50 1,208.75
R3 1,272.00 1,251.25 1,195.50
R2 1,223.75 1,223.75 1,191.00
R1 1,203.00 1,203.00 1,186.75 1,213.50
PP 1,175.50 1,175.50 1,175.50 1,180.75
S1 1,154.75 1,154.75 1,177.75 1,165.00
S2 1,127.25 1,127.25 1,173.50
S3 1,079.00 1,106.50 1,169.00
S4 1,030.75 1,058.25 1,155.75
Weekly Pivots for week ending 09-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,362.75 1,325.00 1,189.50
R3 1,295.25 1,257.50 1,170.75
R2 1,227.75 1,227.75 1,164.50
R1 1,190.00 1,190.00 1,158.50 1,175.00
PP 1,160.25 1,160.25 1,160.25 1,152.75
S1 1,122.50 1,122.50 1,146.00 1,107.50
S2 1,092.75 1,092.75 1,140.00
S3 1,025.25 1,055.00 1,133.75
S4 957.75 987.50 1,115.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,198.00 1,123.50 74.50 6.3% 36.75 3.1% 79% False False 3,067,385
10 1,223.75 1,123.50 100.25 8.5% 34.00 2.9% 59% False False 1,571,948
20 1,223.75 1,105.75 118.00 10.0% 35.75 3.0% 65% False False 791,673
40 1,342.00 1,071.50 270.50 22.9% 37.50 3.2% 41% False False 398,495
60 1,348.75 1,071.50 277.25 23.5% 31.75 2.7% 40% False False 266,080
80 1,348.75 1,071.50 277.25 23.5% 27.75 2.3% 40% False False 199,643
100 1,361.00 1,071.50 289.50 24.5% 25.00 2.1% 38% False False 159,752
120 1,361.00 1,071.50 289.50 24.5% 22.75 1.9% 38% False False 133,159
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 7.28
Widest range in 18 trading days
Fibonacci Retracements and Extensions
4.250 1,401.25
2.618 1,322.50
1.618 1,274.25
1.000 1,244.50
0.618 1,226.00
HIGH 1,196.25
0.618 1,177.75
0.500 1,172.00
0.382 1,166.50
LOW 1,148.00
0.618 1,118.25
1.000 1,099.75
1.618 1,070.00
2.618 1,021.75
4.250 943.00
Fisher Pivots for day following 14-Sep-2011
Pivot 1 day 3 day
R1 1,179.00 1,174.75
PP 1,175.50 1,167.25
S1 1,172.00 1,160.00

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

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