E-mini S&P 500 Future March 2012


Trading Metrics calculated at close of trading on 20-Dec-2011
Day Change Summary
Previous Current
19-Dec-2011 20-Dec-2011 Change Change % Previous Week
Open 1,212.00 1,199.00 -13.00 -1.1% 1,250.25
High 1,219.75 1,237.25 17.50 1.4% 1,254.50
Low 1,195.50 1,198.75 3.25 0.3% 1,198.00
Close 1,199.00 1,236.00 37.00 3.1% 1,211.00
Range 24.25 38.50 14.25 58.8% 56.50
ATR 27.99 28.75 0.75 2.7% 0.00
Volume 1,294,215 1,825,749 531,534 41.1% 12,619,979
Daily Pivots for day following 20-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,339.50 1,326.25 1,257.25
R3 1,301.00 1,287.75 1,246.50
R2 1,262.50 1,262.50 1,243.00
R1 1,249.25 1,249.25 1,239.50 1,256.00
PP 1,224.00 1,224.00 1,224.00 1,227.25
S1 1,210.75 1,210.75 1,232.50 1,217.50
S2 1,185.50 1,185.50 1,229.00
S3 1,147.00 1,172.25 1,225.50
S4 1,108.50 1,133.75 1,214.75
Weekly Pivots for week ending 16-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,390.75 1,357.25 1,242.00
R3 1,334.25 1,300.75 1,226.50
R2 1,277.75 1,277.75 1,221.25
R1 1,244.25 1,244.25 1,216.25 1,232.75
PP 1,221.25 1,221.25 1,221.25 1,215.50
S1 1,187.75 1,187.75 1,205.75 1,176.25
S2 1,164.75 1,164.75 1,200.75
S3 1,108.25 1,131.25 1,195.50
S4 1,051.75 1,074.75 1,180.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,237.25 1,195.50 41.75 3.4% 25.25 2.0% 97% True False 2,012,029
10 1,266.00 1,195.50 70.50 5.7% 29.00 2.3% 57% False False 1,970,831
20 1,266.00 1,141.75 124.25 10.1% 27.25 2.2% 76% False False 997,126
40 1,283.00 1,141.75 141.25 11.4% 28.75 2.3% 67% False False 500,722
60 1,283.00 1,062.00 221.00 17.9% 30.00 2.4% 79% False False 334,476
80 1,283.00 1,062.00 221.00 17.9% 30.75 2.5% 79% False False 250,962
100 1,297.75 1,062.00 235.75 19.1% 33.25 2.7% 74% False False 200,795
120 1,342.75 1,062.00 280.75 22.7% 30.75 2.5% 62% False False 167,333
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 7.23
Widest range in 8 trading days
Fibonacci Retracements and Extensions
4.250 1,401.00
2.618 1,338.00
1.618 1,299.50
1.000 1,275.75
0.618 1,261.00
HIGH 1,237.25
0.618 1,222.50
0.500 1,218.00
0.382 1,213.50
LOW 1,198.75
0.618 1,175.00
1.000 1,160.25
1.618 1,136.50
2.618 1,098.00
4.250 1,035.00
Fisher Pivots for day following 20-Dec-2011
Pivot 1 day 3 day
R1 1,230.00 1,229.50
PP 1,224.00 1,223.00
S1 1,218.00 1,216.50

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

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