E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 26-Jun-2012
Day Change Summary
Previous Current
25-Jun-2012 26-Jun-2012 Change Change % Previous Week
Open 1,325.50 1,306.75 -18.75 -1.4% 1,345.25
High 1,326.50 1,318.00 -8.50 -0.6% 1,357.00
Low 1,302.50 1,303.25 0.75 0.1% 1,317.50
Close 1,306.50 1,315.50 9.00 0.7% 1,326.75
Range 24.00 14.75 -9.25 -38.5% 39.50
ATR 22.11 21.59 -0.53 -2.4% 0.00
Volume 1,840,378 1,810,326 -30,052 -1.6% 10,765,950
Daily Pivots for day following 26-Jun-2012
Classic Woodie Camarilla DeMark
R4 1,356.50 1,350.75 1,323.50
R3 1,341.75 1,336.00 1,319.50
R2 1,327.00 1,327.00 1,318.25
R1 1,321.25 1,321.25 1,316.75 1,324.00
PP 1,312.25 1,312.25 1,312.25 1,313.75
S1 1,306.50 1,306.50 1,314.25 1,309.50
S2 1,297.50 1,297.50 1,312.75
S3 1,282.75 1,291.75 1,311.50
S4 1,268.00 1,277.00 1,307.50
Weekly Pivots for week ending 22-Jun-2012
Classic Woodie Camarilla DeMark
R4 1,452.25 1,429.00 1,348.50
R3 1,412.75 1,389.50 1,337.50
R2 1,373.25 1,373.25 1,334.00
R1 1,350.00 1,350.00 1,330.25 1,342.00
PP 1,333.75 1,333.75 1,333.75 1,329.75
S1 1,310.50 1,310.50 1,323.25 1,302.50
S2 1,294.25 1,294.25 1,319.50
S3 1,254.75 1,271.00 1,316.00
S4 1,215.25 1,231.50 1,305.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,355.50 1,302.50 53.00 4.0% 21.00 1.6% 25% False False 2,115,300
10 1,357.00 1,302.50 54.50 4.1% 20.00 1.5% 24% False False 2,160,758
20 1,357.00 1,255.50 101.50 7.7% 23.00 1.7% 59% False False 1,550,626
40 1,405.00 1,255.50 149.50 11.4% 21.75 1.7% 40% False False 777,380
60 1,407.50 1,255.50 152.00 11.6% 20.25 1.5% 39% False False 518,783
80 1,413.50 1,255.50 158.00 12.0% 18.50 1.4% 38% False False 389,328
100 1,413.50 1,255.50 158.00 12.0% 16.50 1.3% 38% False False 311,467
120 1,413.50 1,255.50 158.00 12.0% 15.00 1.1% 38% False False 259,559
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 False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 2.53
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,380.75
2.618 1,356.50
1.618 1,341.75
1.000 1,332.75
0.618 1,327.00
HIGH 1,318.00
0.618 1,312.25
0.500 1,310.50
0.382 1,309.00
LOW 1,303.25
0.618 1,294.25
1.000 1,288.50
1.618 1,279.50
2.618 1,264.75
4.250 1,240.50
Fisher Pivots for day following 26-Jun-2012
Pivot 1 day 3 day
R1 1,314.00 1,317.00
PP 1,312.25 1,316.50
S1 1,310.50 1,316.00

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

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