E-mini S&P 500 Future March 2012


Trading Metrics calculated at close of trading on 14-Dec-2011
Day Change Summary
Previous Current
13-Dec-2011 14-Dec-2011 Change Change % Previous Week
Open 1,229.25 1,219.75 -9.50 -0.8% 1,243.00
High 1,244.00 1,226.50 -17.50 -1.4% 1,266.00
Low 1,212.50 1,202.50 -10.00 -0.8% 1,222.75
Close 1,220.25 1,206.25 -14.00 -1.1% 1,253.00
Range 31.50 24.00 -7.50 -23.8% 43.25
ATR 30.12 29.68 -0.44 -1.5% 0.00
Volume 3,101,285 2,854,734 -246,551 -7.9% 4,082,677
Daily Pivots for day following 14-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,283.75 1,269.00 1,219.50
R3 1,259.75 1,245.00 1,212.75
R2 1,235.75 1,235.75 1,210.75
R1 1,221.00 1,221.00 1,208.50 1,216.50
PP 1,211.75 1,211.75 1,211.75 1,209.50
S1 1,197.00 1,197.00 1,204.00 1,192.50
S2 1,187.75 1,187.75 1,201.75
S3 1,163.75 1,173.00 1,199.75
S4 1,139.75 1,149.00 1,193.00
Weekly Pivots for week ending 09-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,377.00 1,358.25 1,276.75
R3 1,333.75 1,315.00 1,265.00
R2 1,290.50 1,290.50 1,261.00
R1 1,271.75 1,271.75 1,257.00 1,281.00
PP 1,247.25 1,247.25 1,247.25 1,252.00
S1 1,228.50 1,228.50 1,249.00 1,238.00
S2 1,204.00 1,204.00 1,245.00
S3 1,160.75 1,185.25 1,241.00
S4 1,117.50 1,142.00 1,229.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,266.00 1,202.50 63.50 5.3% 32.75 2.7% 6% False True 2,444,454
10 1,266.00 1,202.50 63.50 5.3% 26.25 2.2% 6% False True 1,268,477
20 1,266.00 1,141.75 124.25 10.3% 27.75 2.3% 52% False False 638,416
40 1,283.00 1,141.75 141.25 11.7% 28.75 2.4% 46% False False 320,769
60 1,283.00 1,062.00 221.00 18.3% 31.25 2.6% 65% False False 214,464
80 1,283.00 1,062.00 221.00 18.3% 31.25 2.6% 65% False False 160,906
100 1,328.00 1,062.00 266.00 22.1% 33.00 2.7% 54% False False 128,741
120 1,342.75 1,062.00 280.75 23.3% 30.50 2.5% 51% False False 107,288
Crabel Price Patterns
NR True
NR4 True
NR5 True
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 7.08
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,328.50
2.618 1,289.25
1.618 1,265.25
1.000 1,250.50
0.618 1,241.25
HIGH 1,226.50
0.618 1,217.25
0.500 1,214.50
0.382 1,211.75
LOW 1,202.50
0.618 1,187.75
1.000 1,178.50
1.618 1,163.75
2.618 1,139.75
4.250 1,100.50
Fisher Pivots for day following 14-Dec-2011
Pivot 1 day 3 day
R1 1,214.50 1,228.50
PP 1,211.75 1,221.00
S1 1,209.00 1,213.75

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

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