E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 23-Jul-2012
Day Change Summary
Previous Current
20-Jul-2012 23-Jul-2012 Change Change % Previous Week
Open 1,371.50 1,355.50 -16.00 -1.2% 1,351.25
High 1,372.00 1,356.75 -15.25 -1.1% 1,376.00
Low 1,357.00 1,332.00 -25.00 -1.8% 1,339.25
Close 1,358.25 1,343.75 -14.50 -1.1% 1,358.25
Range 15.00 24.75 9.75 65.0% 36.75
ATR 18.88 19.40 0.53 2.8% 0.00
Volume 1,799,655 2,078,031 278,376 15.5% 8,856,365
Daily Pivots for day following 23-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,418.50 1,405.75 1,357.25
R3 1,393.75 1,381.00 1,350.50
R2 1,369.00 1,369.00 1,348.25
R1 1,356.25 1,356.25 1,346.00 1,350.25
PP 1,344.25 1,344.25 1,344.25 1,341.00
S1 1,331.50 1,331.50 1,341.50 1,325.50
S2 1,319.50 1,319.50 1,339.25
S3 1,294.75 1,306.75 1,337.00
S4 1,270.00 1,282.00 1,330.25
Weekly Pivots for week ending 20-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,468.00 1,450.00 1,378.50
R3 1,431.25 1,413.25 1,368.25
R2 1,394.50 1,394.50 1,365.00
R1 1,376.50 1,376.50 1,361.50 1,385.50
PP 1,357.75 1,357.75 1,357.75 1,362.50
S1 1,339.75 1,339.75 1,355.00 1,348.75
S2 1,321.00 1,321.00 1,351.50
S3 1,284.25 1,303.00 1,348.25
S4 1,247.50 1,266.25 1,338.00
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 1,332.00 44.00 3.3% 17.75 1.3% 27% False True 1,877,646
10 1,376.00 1,319.75 56.25 4.2% 18.25 1.4% 43% False False 1,852,730
20 1,376.00 1,302.50 73.50 5.5% 19.00 1.4% 56% False False 1,684,625
40 1,376.00 1,255.50 120.50 9.0% 20.75 1.6% 73% False False 1,526,672
60 1,405.00 1,255.50 149.50 11.1% 20.75 1.5% 59% False False 1,019,017
80 1,411.50 1,255.50 156.00 11.6% 19.75 1.5% 57% False False 764,623
100 1,413.50 1,255.50 158.00 11.8% 18.25 1.4% 56% False False 611,881
120 1,413.50 1,255.50 158.00 11.8% 16.75 1.2% 56% False False 509,905
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.65
Widest range in 9 trading days
Fibonacci Retracements and Extensions
4.250 1,462.00
2.618 1,421.50
1.618 1,396.75
1.000 1,381.50
0.618 1,372.00
HIGH 1,356.75
0.618 1,347.25
0.500 1,344.50
0.382 1,341.50
LOW 1,332.00
0.618 1,316.75
1.000 1,307.25
1.618 1,292.00
2.618 1,267.25
4.250 1,226.75
Fisher Pivots for day following 23-Jul-2012
Pivot 1 day 3 day
R1 1,344.50 1,354.00
PP 1,344.25 1,350.50
S1 1,344.00 1,347.25

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

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