E-mini S&P 500 Future March 2012


Trading Metrics calculated at close of trading on 29-Dec-2011
Day Change Summary
Previous Current
28-Dec-2011 29-Dec-2011 Change Change % Previous Week
Open 1,260.00 1,244.00 -16.00 -1.3% 1,212.00
High 1,264.50 1,258.50 -6.00 -0.5% 1,260.75
Low 1,243.00 1,243.75 0.75 0.1% 1,195.50
Close 1,244.50 1,257.50 13.00 1.0% 1,260.25
Range 21.50 14.75 -6.75 -31.4% 65.25
ATR 25.10 24.36 -0.74 -2.9% 0.00
Volume 818,705 677,675 -141,030 -17.2% 6,377,383
Daily Pivots for day following 29-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,297.50 1,292.25 1,265.50
R3 1,282.75 1,277.50 1,261.50
R2 1,268.00 1,268.00 1,260.25
R1 1,262.75 1,262.75 1,258.75 1,265.50
PP 1,253.25 1,253.25 1,253.25 1,254.50
S1 1,248.00 1,248.00 1,256.25 1,250.50
S2 1,238.50 1,238.50 1,254.75
S3 1,223.75 1,233.25 1,253.50
S4 1,209.00 1,218.50 1,249.50
Weekly Pivots for week ending 23-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,434.50 1,412.75 1,296.25
R3 1,369.25 1,347.50 1,278.25
R2 1,304.00 1,304.00 1,272.25
R1 1,282.25 1,282.25 1,266.25 1,293.00
PP 1,238.75 1,238.75 1,238.75 1,244.25
S1 1,217.00 1,217.00 1,254.25 1,228.00
S2 1,173.50 1,173.50 1,248.25
S3 1,108.25 1,151.75 1,242.25
S4 1,043.00 1,086.50 1,224.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,264.50 1,232.25 32.25 2.6% 15.00 1.2% 78% False False 700,781
10 1,264.50 1,195.50 69.00 5.5% 20.25 1.6% 90% False False 1,235,989
20 1,266.00 1,195.50 70.50 5.6% 23.25 1.9% 88% False False 1,252,233
40 1,269.00 1,141.75 127.25 10.1% 26.50 2.1% 91% False False 629,235
60 1,283.00 1,100.50 182.50 14.5% 27.50 2.2% 86% False False 420,225
80 1,283.00 1,062.00 221.00 17.6% 29.75 2.4% 88% False False 315,388
100 1,283.00 1,062.00 221.00 17.6% 31.25 2.5% 88% False False 252,336
120 1,335.75 1,062.00 273.75 21.8% 30.75 2.4% 71% False False 210,285
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR False
3BNR True
4BNR True
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.60
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,321.25
2.618 1,297.00
1.618 1,282.25
1.000 1,273.25
0.618 1,267.50
HIGH 1,258.50
0.618 1,252.75
0.500 1,251.00
0.382 1,249.50
LOW 1,243.75
0.618 1,234.75
1.000 1,229.00
1.618 1,220.00
2.618 1,205.25
4.250 1,181.00
Fisher Pivots for day following 29-Dec-2011
Pivot 1 day 3 day
R1 1,255.50 1,256.25
PP 1,253.25 1,255.00
S1 1,251.00 1,253.75

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

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