E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 02-Jul-2012
Day Change Summary
Previous Current
29-Jun-2012 02-Jul-2012 Change Change % Previous Week
Open 1,322.00 1,358.75 36.75 2.8% 1,325.50
High 1,359.50 1,362.25 2.75 0.2% 1,359.50
Low 1,316.00 1,349.50 33.50 2.5% 1,302.50
Close 1,356.50 1,357.50 1.00 0.1% 1,356.50
Range 43.50 12.75 -30.75 -70.7% 57.00
ATR 22.80 22.08 -0.72 -3.1% 0.00
Volume 2,484,771 1,687,967 -796,804 -32.1% 10,042,144
Daily Pivots for day following 02-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,394.75 1,388.75 1,364.50
R3 1,382.00 1,376.00 1,361.00
R2 1,369.25 1,369.25 1,359.75
R1 1,363.25 1,363.25 1,358.75 1,360.00
PP 1,356.50 1,356.50 1,356.50 1,354.75
S1 1,350.50 1,350.50 1,356.25 1,347.00
S2 1,343.75 1,343.75 1,355.25
S3 1,331.00 1,337.75 1,354.00
S4 1,318.25 1,325.00 1,350.50
Weekly Pivots for week ending 29-Jun-2012
Classic Woodie Camarilla DeMark
R4 1,510.50 1,490.50 1,387.75
R3 1,453.50 1,433.50 1,372.25
R2 1,396.50 1,396.50 1,367.00
R1 1,376.50 1,376.50 1,361.75 1,386.50
PP 1,339.50 1,339.50 1,339.50 1,344.50
S1 1,319.50 1,319.50 1,351.25 1,329.50
S2 1,282.50 1,282.50 1,346.00
S3 1,225.50 1,262.50 1,340.75
S4 1,168.50 1,205.50 1,325.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,362.25 1,303.25 59.00 4.3% 21.75 1.6% 92% True False 1,977,946
10 1,362.25 1,302.50 59.75 4.4% 22.00 1.6% 92% True False 2,042,697
20 1,362.25 1,260.75 101.50 7.5% 22.75 1.7% 95% True False 1,948,714
40 1,363.50 1,255.50 108.00 8.0% 22.25 1.6% 94% False False 979,193
60 1,405.00 1,255.50 149.50 11.0% 20.50 1.5% 68% False False 653,339
80 1,413.50 1,255.50 158.00 11.6% 19.00 1.4% 65% False False 490,319
100 1,413.50 1,255.50 158.00 11.6% 17.25 1.3% 65% False False 392,261
120 1,413.50 1,255.50 158.00 11.6% 15.75 1.2% 65% False False 326,887
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
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 3.23
Narrowest range in 44 trading days
Fibonacci Retracements and Extensions
4.250 1,416.50
2.618 1,395.75
1.618 1,383.00
1.000 1,375.00
0.618 1,370.25
HIGH 1,362.25
0.618 1,357.50
0.500 1,356.00
0.382 1,354.25
LOW 1,349.50
0.618 1,341.50
1.000 1,336.75
1.618 1,328.75
2.618 1,316.00
4.250 1,295.25
Fisher Pivots for day following 02-Jul-2012
Pivot 1 day 3 day
R1 1,357.00 1,349.75
PP 1,356.50 1,342.25
S1 1,356.00 1,334.50

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

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