E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 22-Nov-2011
Day Change Summary
Previous Current
21-Nov-2011 22-Nov-2011 Change Change % Previous Week
Open 1,208.00 1,190.75 -17.25 -1.4% 1,264.25
High 1,209.00 1,199.00 -10.00 -0.8% 1,270.75
Low 1,180.75 1,179.25 -1.50 -0.1% 1,206.50
Close 1,190.75 1,182.75 -8.00 -0.7% 1,214.00
Range 28.25 19.75 -8.50 -30.1% 64.25
ATR 31.26 30.44 -0.82 -2.6% 0.00
Volume 2,178,618 2,306,750 128,132 5.9% 12,086,560
Daily Pivots for day following 22-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,246.25 1,234.25 1,193.50
R3 1,226.50 1,214.50 1,188.25
R2 1,206.75 1,206.75 1,186.25
R1 1,194.75 1,194.75 1,184.50 1,191.00
PP 1,187.00 1,187.00 1,187.00 1,185.00
S1 1,175.00 1,175.00 1,181.00 1,171.00
S2 1,167.25 1,167.25 1,179.25
S3 1,147.50 1,155.25 1,177.25
S4 1,127.75 1,135.50 1,172.00
Weekly Pivots for week ending 18-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,423.25 1,382.75 1,249.25
R3 1,359.00 1,318.50 1,231.75
R2 1,294.75 1,294.75 1,225.75
R1 1,254.25 1,254.25 1,220.00 1,242.50
PP 1,230.50 1,230.50 1,230.50 1,224.50
S1 1,190.00 1,190.00 1,208.00 1,178.00
S2 1,166.25 1,166.25 1,202.25
S3 1,102.00 1,125.75 1,196.25
S4 1,037.75 1,061.50 1,178.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,258.75 1,179.25 79.50 6.7% 26.50 2.2% 4% False True 2,492,529
10 1,274.00 1,179.25 94.75 8.0% 29.75 2.5% 4% False True 2,399,635
20 1,289.25 1,179.25 110.00 9.3% 30.50 2.6% 3% False True 2,465,594
40 1,289.25 1,068.00 221.25 18.7% 31.75 2.7% 52% False False 2,568,391
60 1,289.25 1,068.00 221.25 18.7% 32.50 2.7% 52% False False 2,447,867
80 1,289.25 1,068.00 221.25 18.7% 36.25 3.1% 52% False False 1,837,987
100 1,348.75 1,068.00 280.75 23.7% 33.00 2.8% 41% False False 1,470,752
120 1,348.75 1,068.00 280.75 23.7% 30.50 2.6% 41% False False 1,225,761
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 6.00
Narrowest range in 17 trading days
Fibonacci Retracements and Extensions
4.250 1,283.00
2.618 1,250.75
1.618 1,231.00
1.000 1,218.75
0.618 1,211.25
HIGH 1,199.00
0.618 1,191.50
0.500 1,189.00
0.382 1,186.75
LOW 1,179.25
0.618 1,167.00
1.000 1,159.50
1.618 1,147.25
2.618 1,127.50
4.250 1,095.25
Fisher Pivots for day following 22-Nov-2011
Pivot 1 day 3 day
R1 1,189.00 1,204.50
PP 1,187.00 1,197.25
S1 1,185.00 1,190.00

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

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