E-mini S&P 500 Future March 2012


Trading Metrics calculated at close of trading on 04-Oct-2011
Day Change Summary
Previous Current
03-Oct-2011 04-Oct-2011 Change Change % Previous Week
Open 1,115.25 1,080.25 -35.00 -3.1% 1,119.25
High 1,126.75 1,113.00 -13.75 -1.2% 1,183.50
Low 1,079.25 1,062.00 -17.25 -1.6% 1,108.50
Close 1,079.75 1,107.25 27.50 2.5% 1,119.50
Range 47.50 51.00 3.50 7.4% 75.00
ATR 36.63 37.66 1.03 2.8% 0.00
Volume 1,506 1,625 119 7.9% 7,763
Daily Pivots for day following 04-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,247.00 1,228.25 1,135.25
R3 1,196.00 1,177.25 1,121.25
R2 1,145.00 1,145.00 1,116.50
R1 1,126.25 1,126.25 1,112.00 1,135.50
PP 1,094.00 1,094.00 1,094.00 1,098.75
S1 1,075.25 1,075.25 1,102.50 1,084.50
S2 1,043.00 1,043.00 1,098.00
S3 992.00 1,024.25 1,093.25
S4 941.00 973.25 1,079.25
Weekly Pivots for week ending 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,362.25 1,315.75 1,160.75
R3 1,287.25 1,240.75 1,140.00
R2 1,212.25 1,212.25 1,133.25
R1 1,165.75 1,165.75 1,126.50 1,189.00
PP 1,137.25 1,137.25 1,137.25 1,148.75
S1 1,090.75 1,090.75 1,112.50 1,114.00
S2 1,062.25 1,062.25 1,105.75
S3 987.25 1,015.75 1,099.00
S4 912.25 940.75 1,078.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,174.75 1,062.00 112.75 10.2% 42.00 3.8% 40% False True 1,436
10 1,197.25 1,062.00 135.25 12.2% 42.25 3.8% 33% False True 1,418
20 1,208.00 1,062.00 146.00 13.2% 36.25 3.3% 31% False True 874
40 1,217.75 1,062.00 155.75 14.1% 37.00 3.3% 29% False True 503
60 1,335.75 1,062.00 273.75 24.7% 33.75 3.1% 17% False True 344
80 1,342.75 1,062.00 280.75 25.4% 29.00 2.6% 16% False True 263
100 1,342.75 1,062.00 280.75 25.4% 23.50 2.1% 16% False True 211
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 8.90
Widest range in 8 trading days
Fibonacci Retracements and Extensions
4.250 1,329.75
2.618 1,246.50
1.618 1,195.50
1.000 1,164.00
0.618 1,144.50
HIGH 1,113.00
0.618 1,093.50
0.500 1,087.50
0.382 1,081.50
LOW 1,062.00
0.618 1,030.50
1.000 1,011.00
1.618 979.50
2.618 928.50
4.250 845.25
Fisher Pivots for day following 04-Oct-2011
Pivot 1 day 3 day
R1 1,100.75 1,107.50
PP 1,094.00 1,107.25
S1 1,087.50 1,107.25

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

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