E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 08-Dec-2011
Day Change Summary
Previous Current
07-Dec-2011 08-Dec-2011 Change Change % Previous Week
Open 1,255.50 1,263.75 8.25 0.7% 1,172.00
High 1,268.00 1,272.00 4.00 0.3% 1,262.75
Low 1,244.00 1,230.75 -13.25 -1.1% 1,169.25
Close 1,264.00 1,236.00 -28.00 -2.2% 1,243.50
Range 24.00 41.25 17.25 71.9% 93.50
ATR 28.85 29.74 0.89 3.1% 0.00
Volume 2,724,649 2,437,801 -286,848 -10.5% 12,364,191
Daily Pivots for day following 08-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,370.00 1,344.25 1,258.75
R3 1,328.75 1,303.00 1,247.25
R2 1,287.50 1,287.50 1,243.50
R1 1,261.75 1,261.75 1,239.75 1,254.00
PP 1,246.25 1,246.25 1,246.25 1,242.50
S1 1,220.50 1,220.50 1,232.25 1,212.75
S2 1,205.00 1,205.00 1,228.50
S3 1,163.75 1,179.25 1,224.75
S4 1,122.50 1,138.00 1,213.25
Weekly Pivots for week ending 02-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,505.75 1,468.00 1,295.00
R3 1,412.25 1,374.50 1,269.25
R2 1,318.75 1,318.75 1,260.75
R1 1,281.00 1,281.00 1,252.00 1,300.00
PP 1,225.25 1,225.25 1,225.25 1,234.50
S1 1,187.50 1,187.50 1,235.00 1,206.50
S2 1,131.75 1,131.75 1,226.25
S3 1,038.25 1,094.00 1,217.75
S4 944.75 1,000.50 1,192.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,272.00 1,230.75 41.25 3.3% 25.00 2.0% 13% True True 2,371,490
10 1,272.00 1,147.50 124.50 10.1% 27.75 2.2% 71% True False 2,356,277
20 1,272.00 1,147.50 124.50 10.1% 27.50 2.2% 71% True False 2,332,042
40 1,289.25 1,147.50 141.75 11.5% 29.50 2.4% 62% False False 2,428,375
60 1,289.25 1,068.00 221.25 17.9% 31.50 2.5% 76% False False 2,616,763
80 1,289.25 1,068.00 221.25 17.9% 32.50 2.6% 76% False False 2,160,490
100 1,342.00 1,068.00 274.00 22.2% 34.00 2.7% 61% False False 1,729,456
120 1,348.75 1,068.00 280.75 22.7% 31.50 2.6% 60% False False 1,441,421
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 6.70
Widest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1,447.25
2.618 1,380.00
1.618 1,338.75
1.000 1,313.25
0.618 1,297.50
HIGH 1,272.00
0.618 1,256.25
0.500 1,251.50
0.382 1,246.50
LOW 1,230.75
0.618 1,205.25
1.000 1,189.50
1.618 1,164.00
2.618 1,122.75
4.250 1,055.50
Fisher Pivots for day following 08-Dec-2011
Pivot 1 day 3 day
R1 1,251.50 1,251.50
PP 1,246.25 1,246.25
S1 1,241.00 1,241.00

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

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