E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 19-Jul-2012
Day Change Summary
Previous Current
18-Jul-2012 19-Jul-2012 Change Change % Previous Week
Open 1,358.50 1,367.25 8.75 0.6% 1,349.25
High 1,370.50 1,376.00 5.50 0.4% 1,356.50
Low 1,352.50 1,366.00 13.50 1.0% 1,319.75
Close 1,367.25 1,372.00 4.75 0.3% 1,351.75
Range 18.00 10.00 -8.00 -44.4% 36.75
ATR 19.88 19.18 -0.71 -3.6% 0.00
Volume 1,797,476 1,742,592 -54,884 -3.1% 9,061,368
Daily Pivots for day following 19-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,401.25 1,396.75 1,377.50
R3 1,391.25 1,386.75 1,374.75
R2 1,381.25 1,381.25 1,373.75
R1 1,376.75 1,376.75 1,373.00 1,379.00
PP 1,371.25 1,371.25 1,371.25 1,372.50
S1 1,366.75 1,366.75 1,371.00 1,369.00
S2 1,361.25 1,361.25 1,370.25
S3 1,351.25 1,356.75 1,369.25
S4 1,341.25 1,346.75 1,366.50
Weekly Pivots for week ending 13-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,453.00 1,439.00 1,372.00
R3 1,416.25 1,402.25 1,361.75
R2 1,379.50 1,379.50 1,358.50
R1 1,365.50 1,365.50 1,355.00 1,372.50
PP 1,342.75 1,342.75 1,342.75 1,346.00
S1 1,328.75 1,328.75 1,348.50 1,335.75
S2 1,306.00 1,306.00 1,345.00
S3 1,269.25 1,292.00 1,341.75
S4 1,232.50 1,255.25 1,331.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,376.00 1,328.75 47.25 3.4% 16.75 1.2% 92% True False 1,763,004
10 1,376.00 1,319.75 56.25 4.1% 17.50 1.3% 93% True False 1,807,088
20 1,376.00 1,302.50 73.50 5.4% 19.50 1.4% 95% True False 1,719,077
40 1,376.00 1,255.50 120.50 8.8% 21.00 1.5% 97% True False 1,430,310
60 1,405.00 1,255.50 149.50 10.9% 20.50 1.5% 78% False False 954,512
80 1,411.50 1,255.50 156.00 11.4% 19.75 1.4% 75% False False 716,247
100 1,413.50 1,255.50 158.00 11.5% 18.25 1.3% 74% False False 573,104
120 1,413.50 1,255.50 158.00 11.5% 16.50 1.2% 74% False False 477,591
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 3.83
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,418.50
2.618 1,402.25
1.618 1,392.25
1.000 1,386.00
0.618 1,382.25
HIGH 1,376.00
0.618 1,372.25
0.500 1,371.00
0.382 1,369.75
LOW 1,366.00
0.618 1,359.75
1.000 1,356.00
1.618 1,349.75
2.618 1,339.75
4.250 1,323.50
Fisher Pivots for day following 19-Jul-2012
Pivot 1 day 3 day
R1 1,371.75 1,367.25
PP 1,371.25 1,362.50
S1 1,371.00 1,357.50

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

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