E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 13-Dec-2011
Day Change Summary
Previous Current
12-Dec-2011 13-Dec-2011 Change Change % Previous Week
Open 1,256.00 1,235.00 -21.00 -1.7% 1,248.00
High 1,260.50 1,249.75 -10.75 -0.9% 1,272.00
Low 1,226.00 1,218.50 -7.50 -0.6% 1,228.50
Close 1,235.25 1,226.25 -9.00 -0.7% 1,258.75
Range 34.50 31.25 -3.25 -9.4% 43.50
ATR 30.23 30.30 0.07 0.2% 0.00
Volume 908,398 999,447 91,049 10.0% 10,823,780
Daily Pivots for day following 13-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,325.25 1,307.00 1,243.50
R3 1,294.00 1,275.75 1,234.75
R2 1,262.75 1,262.75 1,232.00
R1 1,244.50 1,244.50 1,229.00 1,238.00
PP 1,231.50 1,231.50 1,231.50 1,228.25
S1 1,213.25 1,213.25 1,223.50 1,206.75
S2 1,200.25 1,200.25 1,220.50
S3 1,169.00 1,182.00 1,217.75
S4 1,137.75 1,150.75 1,209.00
Weekly Pivots for week ending 09-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,383.50 1,364.75 1,282.75
R3 1,340.00 1,321.25 1,270.75
R2 1,296.50 1,296.50 1,266.75
R1 1,277.75 1,277.75 1,262.75 1,287.00
PP 1,253.00 1,253.00 1,253.00 1,257.75
S1 1,234.25 1,234.25 1,254.75 1,243.50
S2 1,209.50 1,209.50 1,250.75
S3 1,166.00 1,190.75 1,246.75
S4 1,122.50 1,147.25 1,234.75
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 1,218.50 53.50 4.4% 32.50 2.7% 14% False True 1,642,738
10 1,272.00 1,183.00 89.00 7.3% 30.25 2.5% 49% False False 2,031,158
20 1,272.00 1,147.50 124.50 10.2% 28.00 2.3% 63% False False 2,182,138
40 1,289.25 1,147.50 141.75 11.6% 29.75 2.4% 56% False False 2,332,253
60 1,289.25 1,068.00 221.25 18.0% 32.00 2.6% 72% False False 2,532,244
80 1,289.25 1,068.00 221.25 18.0% 32.25 2.6% 72% False False 2,198,475
100 1,334.25 1,068.00 266.25 21.7% 34.25 2.8% 59% False False 1,759,911
120 1,348.75 1,068.00 280.75 22.9% 32.00 2.6% 56% False False 1,466,837
Crabel Price Patterns
NR True
NR4 True
NR5 False
NR7 False
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 7.48
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,382.50
2.618 1,331.50
1.618 1,300.25
1.000 1,281.00
0.618 1,269.00
HIGH 1,249.75
0.618 1,237.75
0.500 1,234.00
0.382 1,230.50
LOW 1,218.50
0.618 1,199.25
1.000 1,187.25
1.618 1,168.00
2.618 1,136.75
4.250 1,085.75
Fisher Pivots for day following 13-Dec-2011
Pivot 1 day 3 day
R1 1,234.00 1,239.50
PP 1,231.50 1,235.00
S1 1,229.00 1,230.75

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

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