E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 28-Jun-2012
Day Change Summary
Previous Current
27-Jun-2012 28-Jun-2012 Change Change % Previous Week
Open 1,315.75 1,325.75 10.00 0.8% 1,345.25
High 1,328.50 1,327.75 -0.75 -0.1% 1,357.00
Low 1,312.00 1,306.75 -5.25 -0.4% 1,317.50
Close 1,325.50 1,322.50 -3.00 -0.2% 1,326.75
Range 16.50 21.00 4.50 27.3% 39.50
ATR 21.22 21.21 -0.02 -0.1% 0.00
Volume 1,615,882 2,290,787 674,905 41.8% 10,765,950
Daily Pivots for day following 28-Jun-2012
Classic Woodie Camarilla DeMark
R4 1,382.00 1,373.25 1,334.00
R3 1,361.00 1,352.25 1,328.25
R2 1,340.00 1,340.00 1,326.25
R1 1,331.25 1,331.25 1,324.50 1,325.00
PP 1,319.00 1,319.00 1,319.00 1,316.00
S1 1,310.25 1,310.25 1,320.50 1,304.00
S2 1,298.00 1,298.00 1,318.75
S3 1,277.00 1,289.25 1,316.75
S4 1,256.00 1,268.25 1,311.00
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 1,331.75 1,302.50 29.25 2.2% 18.00 1.4% 68% False False 1,883,212
10 1,357.00 1,302.50 54.50 4.1% 19.75 1.5% 37% False False 2,014,068
20 1,357.00 1,255.50 101.50 7.7% 22.50 1.7% 66% False False 1,744,893
40 1,395.75 1,255.50 140.25 10.6% 22.00 1.7% 48% False False 874,978
60 1,405.00 1,255.50 149.50 11.3% 20.25 1.5% 45% False False 583,828
80 1,413.50 1,255.50 158.00 11.9% 18.50 1.4% 42% False False 438,160
100 1,413.50 1,255.50 158.00 11.9% 16.75 1.3% 42% False False 350,534
120 1,413.50 1,255.50 158.00 11.9% 15.25 1.2% 42% False False 292,114
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR True
4BNR True
8BNR False
Bear Hook False
Bull Hook False
Stretch 2.58
Widest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,417.00
2.618 1,382.75
1.618 1,361.75
1.000 1,348.75
0.618 1,340.75
HIGH 1,327.75
0.618 1,319.75
0.500 1,317.25
0.382 1,314.75
LOW 1,306.75
0.618 1,293.75
1.000 1,285.75
1.618 1,272.75
2.618 1,251.75
4.250 1,217.50
Fisher Pivots for day following 28-Jun-2012
Pivot 1 day 3 day
R1 1,320.75 1,320.25
PP 1,319.00 1,318.00
S1 1,317.25 1,316.00

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

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