| Trading Metrics calculated at close of trading on 27-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Dec-2011 |
27-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
2,292.0 |
2,293.0 |
1.0 |
0.0% |
2,165.0 |
| High |
2,296.0 |
2,303.0 |
7.0 |
0.3% |
2,308.0 |
| Low |
2,274.0 |
2,279.0 |
5.0 |
0.2% |
2,162.0 |
| Close |
2,295.0 |
2,288.0 |
-7.0 |
-0.3% |
2,295.0 |
| Range |
22.0 |
24.0 |
2.0 |
9.1% |
146.0 |
| ATR |
67.9 |
64.8 |
-3.1 |
-4.6% |
0.0 |
| Volume |
295,811 |
180,497 |
-115,314 |
-39.0% |
3,138,731 |
|
| Daily Pivots for day following 27-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
2,362.0 |
2,349.0 |
2,301.2 |
|
| R3 |
2,338.0 |
2,325.0 |
2,294.6 |
|
| R2 |
2,314.0 |
2,314.0 |
2,292.4 |
|
| R1 |
2,301.0 |
2,301.0 |
2,290.2 |
2,295.5 |
| PP |
2,290.0 |
2,290.0 |
2,290.0 |
2,287.3 |
| S1 |
2,277.0 |
2,277.0 |
2,285.8 |
2,271.5 |
| S2 |
2,266.0 |
2,266.0 |
2,283.6 |
|
| S3 |
2,242.0 |
2,253.0 |
2,281.4 |
|
| S4 |
2,218.0 |
2,229.0 |
2,274.8 |
|
|
| Weekly Pivots for week ending 23-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
2,693.0 |
2,640.0 |
2,375.3 |
|
| R3 |
2,547.0 |
2,494.0 |
2,335.2 |
|
| R2 |
2,401.0 |
2,401.0 |
2,321.8 |
|
| R1 |
2,348.0 |
2,348.0 |
2,308.4 |
2,374.5 |
| PP |
2,255.0 |
2,255.0 |
2,255.0 |
2,268.3 |
| S1 |
2,202.0 |
2,202.0 |
2,281.6 |
2,228.5 |
| S2 |
2,109.0 |
2,109.0 |
2,268.2 |
|
| S3 |
1,963.0 |
2,056.0 |
2,254.9 |
|
| S4 |
1,817.0 |
1,910.0 |
2,214.7 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
2,308.0 |
2,183.0 |
125.0 |
5.5% |
51.6 |
2.3% |
84% |
False |
False |
527,447 |
| 10 |
2,308.0 |
2,162.0 |
146.0 |
6.4% |
55.2 |
2.4% |
86% |
False |
False |
869,161 |
| 20 |
2,392.0 |
2,162.0 |
230.0 |
10.1% |
64.1 |
2.8% |
55% |
False |
False |
519,542 |
| 40 |
2,392.0 |
2,059.0 |
333.0 |
14.6% |
69.0 |
3.0% |
69% |
False |
False |
271,357 |
| 60 |
2,503.0 |
2,043.0 |
460.0 |
20.1% |
68.2 |
3.0% |
53% |
False |
False |
183,773 |
| 80 |
2,503.0 |
1,927.0 |
576.0 |
25.2% |
70.2 |
3.1% |
63% |
False |
False |
142,296 |
| 100 |
2,503.0 |
1,927.0 |
576.0 |
25.2% |
72.3 |
3.2% |
63% |
False |
False |
114,271 |
| 120 |
2,788.0 |
1,927.0 |
861.0 |
37.6% |
70.9 |
3.1% |
42% |
False |
False |
95,327 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
2,405.0 |
|
2.618 |
2,365.8 |
|
1.618 |
2,341.8 |
|
1.000 |
2,327.0 |
|
0.618 |
2,317.8 |
|
HIGH |
2,303.0 |
|
0.618 |
2,293.8 |
|
0.500 |
2,291.0 |
|
0.382 |
2,288.2 |
|
LOW |
2,279.0 |
|
0.618 |
2,264.2 |
|
1.000 |
2,255.0 |
|
1.618 |
2,240.2 |
|
2.618 |
2,216.2 |
|
4.250 |
2,177.0 |
|
|
| Fisher Pivots for day following 27-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
2,291.0 |
2,282.2 |
| PP |
2,290.0 |
2,276.3 |
| S1 |
2,289.0 |
2,270.5 |
|