E-mini S&P 500 Future March 2012


Trading Metrics calculated at close of trading on 11-Jan-2012
Day Change Summary
Previous Current
10-Jan-2012 11-Jan-2012 Change Change % Previous Week
Open 1,275.00 1,286.00 11.00 0.9% 1,274.75
High 1,292.00 1,289.50 -2.50 -0.2% 1,282.25
Low 1,274.50 1,279.25 4.75 0.4% 1,259.75
Close 1,286.00 1,288.25 2.25 0.2% 1,274.25
Range 17.50 10.25 -7.25 -41.4% 22.50
ATR 20.83 20.08 -0.76 -3.6% 0.00
Volume 1,250,815 1,565,704 314,889 25.2% 5,610,562
Daily Pivots for day following 11-Jan-2012
Classic Woodie Camarilla DeMark
R4 1,316.50 1,312.50 1,294.00
R3 1,306.25 1,302.25 1,291.00
R2 1,296.00 1,296.00 1,290.25
R1 1,292.00 1,292.00 1,289.25 1,294.00
PP 1,285.75 1,285.75 1,285.75 1,286.50
S1 1,281.75 1,281.75 1,287.25 1,283.75
S2 1,275.50 1,275.50 1,286.25
S3 1,265.25 1,271.50 1,285.50
S4 1,255.00 1,261.25 1,282.50
Weekly Pivots for week ending 06-Jan-2012
Classic Woodie Camarilla DeMark
R4 1,339.50 1,329.50 1,286.50
R3 1,317.00 1,307.00 1,280.50
R2 1,294.50 1,294.50 1,278.50
R1 1,284.50 1,284.50 1,276.25 1,278.25
PP 1,272.00 1,272.00 1,272.00 1,269.00
S1 1,262.00 1,262.00 1,272.25 1,255.75
S2 1,249.50 1,249.50 1,270.00
S3 1,227.00 1,239.50 1,268.00
S4 1,204.50 1,217.00 1,262.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,292.00 1,259.75 32.25 2.5% 14.50 1.1% 88% False False 1,403,530
10 1,292.00 1,243.00 49.00 3.8% 14.00 1.1% 92% False False 1,159,375
20 1,292.00 1,195.50 96.50 7.5% 18.00 1.4% 96% False False 1,420,664
40 1,292.00 1,141.75 150.25 11.7% 22.75 1.8% 98% False False 880,960
60 1,292.00 1,141.75 150.25 11.7% 25.50 2.0% 98% False False 588,236
80 1,292.00 1,062.00 230.00 17.9% 27.75 2.2% 98% False False 441,581
100 1,292.00 1,062.00 230.00 17.9% 28.75 2.2% 98% False False 353,305
120 1,335.75 1,062.00 273.75 21.2% 30.25 2.4% 83% False False 294,428
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.30
Narrowest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1,333.00
2.618 1,316.25
1.618 1,306.00
1.000 1,299.75
0.618 1,295.75
HIGH 1,289.50
0.618 1,285.50
0.500 1,284.50
0.382 1,283.25
LOW 1,279.25
0.618 1,273.00
1.000 1,269.00
1.618 1,262.75
2.618 1,252.50
4.250 1,235.75
Fisher Pivots for day following 11-Jan-2012
Pivot 1 day 3 day
R1 1,287.00 1,285.50
PP 1,285.75 1,282.50
S1 1,284.50 1,279.50

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

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