E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 09-Jul-2012
Day Change Summary
Previous Current
06-Jul-2012 09-Jul-2012 Change Change % Previous Week
Open 1,361.50 1,349.25 -12.25 -0.9% 1,358.75
High 1,364.00 1,350.25 -13.75 -1.0% 1,375.00
Low 1,342.25 1,341.00 -1.25 -0.1% 1,342.25
Close 1,351.75 1,349.25 -2.50 -0.2% 1,351.75
Range 21.75 9.25 -12.50 -57.5% 32.75
ATR 21.30 20.55 -0.75 -3.5% 0.00
Volume 1,952,810 1,468,459 -484,351 -24.8% 3,654,597
Daily Pivots for day following 09-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,374.50 1,371.25 1,354.25
R3 1,365.25 1,362.00 1,351.75
R2 1,356.00 1,356.00 1,351.00
R1 1,352.75 1,352.75 1,350.00 1,354.00
PP 1,346.75 1,346.75 1,346.75 1,347.50
S1 1,343.50 1,343.50 1,348.50 1,344.50
S2 1,337.50 1,337.50 1,347.50
S3 1,328.25 1,334.25 1,346.75
S4 1,319.00 1,325.00 1,344.25
Weekly Pivots for week ending 06-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,454.50 1,436.00 1,369.75
R3 1,421.75 1,403.25 1,360.75
R2 1,389.00 1,389.00 1,357.75
R1 1,370.50 1,370.50 1,354.75 1,363.50
PP 1,356.25 1,356.25 1,356.25 1,352.75
S1 1,337.75 1,337.75 1,348.75 1,330.50
S2 1,323.50 1,323.50 1,345.75
S3 1,290.75 1,305.00 1,342.75
S4 1,258.00 1,272.25 1,333.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,375.00 1,341.00 34.00 2.5% 15.25 1.1% 24% False True 1,024,611
10 1,375.00 1,302.50 72.50 5.4% 19.50 1.5% 64% False False 1,516,520
20 1,375.00 1,297.00 78.00 5.8% 21.00 1.6% 67% False False 1,956,944
40 1,375.00 1,255.50 119.50 8.9% 21.50 1.6% 78% False False 1,064,827
60 1,405.00 1,255.50 149.50 11.1% 20.50 1.5% 63% False False 710,512
80 1,413.50 1,255.50 158.00 11.7% 19.25 1.4% 59% False False 533,245
100 1,413.50 1,255.50 158.00 11.7% 17.50 1.3% 59% False False 426,610
120 1,413.50 1,255.50 158.00 11.7% 16.00 1.2% 59% False False 355,512
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 3.25
Narrowest range in 56 trading days
Fibonacci Retracements and Extensions
4.250 1,389.50
2.618 1,374.50
1.618 1,365.25
1.000 1,359.50
0.618 1,356.00
HIGH 1,350.25
0.618 1,346.75
0.500 1,345.50
0.382 1,344.50
LOW 1,341.00
0.618 1,335.25
1.000 1,331.75
1.618 1,326.00
2.618 1,316.75
4.250 1,301.75
Fisher Pivots for day following 09-Jul-2012
Pivot 1 day 3 day
R1 1,348.00 1,358.00
PP 1,346.75 1,355.00
S1 1,345.50 1,352.25

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

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