E-mini S&P 500 Future March 2012


Trading Metrics calculated at close of trading on 26-Jan-2012
Day Change Summary
Previous Current
25-Jan-2012 26-Jan-2012 Change Change % Previous Week
Open 1,311.25 1,320.75 9.50 0.7% 1,285.25
High 1,324.75 1,329.75 5.00 0.4% 1,311.75
Low 1,303.00 1,309.25 6.25 0.5% 1,281.25
Close 1,320.25 1,315.25 -5.00 -0.4% 1,310.75
Range 21.75 20.50 -1.25 -5.7% 30.50
ATR 17.86 18.05 0.19 1.1% 0.00
Volume 1,968,562 2,001,696 33,134 1.7% 6,181,741
Daily Pivots for day following 26-Jan-2012
Classic Woodie Camarilla DeMark
R4 1,379.50 1,368.00 1,326.50
R3 1,359.00 1,347.50 1,321.00
R2 1,338.50 1,338.50 1,319.00
R1 1,327.00 1,327.00 1,317.25 1,322.50
PP 1,318.00 1,318.00 1,318.00 1,316.00
S1 1,306.50 1,306.50 1,313.25 1,302.00
S2 1,297.50 1,297.50 1,311.50
S3 1,277.00 1,286.00 1,309.50
S4 1,256.50 1,265.50 1,304.00
Weekly Pivots for week ending 20-Jan-2012
Classic Woodie Camarilla DeMark
R4 1,392.75 1,382.25 1,327.50
R3 1,362.25 1,351.75 1,319.25
R2 1,331.75 1,331.75 1,316.25
R1 1,321.25 1,321.25 1,313.50 1,326.50
PP 1,301.25 1,301.25 1,301.25 1,304.00
S1 1,290.75 1,290.75 1,308.00 1,296.00
S2 1,270.75 1,270.75 1,305.25
S3 1,240.25 1,260.25 1,302.25
S4 1,209.75 1,229.75 1,294.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,329.75 1,301.50 28.25 2.1% 14.50 1.1% 49% True False 1,641,931
10 1,329.75 1,272.75 57.00 4.3% 16.25 1.2% 75% True False 1,649,623
20 1,329.75 1,243.00 86.75 6.6% 15.00 1.1% 83% True False 1,404,499
40 1,329.75 1,177.25 152.50 11.6% 20.25 1.5% 90% True False 1,291,537
60 1,329.75 1,141.75 188.00 14.3% 23.25 1.8% 92% True False 862,785
80 1,329.75 1,062.00 267.75 20.4% 25.25 1.9% 95% True False 647,628
100 1,329.75 1,062.00 267.75 20.4% 27.00 2.1% 95% True False 518,247
120 1,329.75 1,062.00 267.75 20.4% 29.50 2.2% 95% True False 431,896
Crabel Price Patterns
NR True
NR4 False
NR5 False
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 4.25
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,417.00
2.618 1,383.50
1.618 1,363.00
1.000 1,350.25
0.618 1,342.50
HIGH 1,329.75
0.618 1,322.00
0.500 1,319.50
0.382 1,317.00
LOW 1,309.25
0.618 1,296.50
1.000 1,288.75
1.618 1,276.00
2.618 1,255.50
4.250 1,222.00
Fisher Pivots for day following 26-Jan-2012
Pivot 1 day 3 day
R1 1,319.50 1,315.50
PP 1,318.00 1,315.50
S1 1,316.75 1,315.50

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

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