E-mini S&P 500 Future September 2012


Trading Metrics calculated at close of trading on 31-Jul-2012
Day Change Summary
Previous Current
30-Jul-2012 31-Jul-2012 Change Change % Previous Week
Open 1,379.25 1,380.00 0.75 0.1% 1,355.50
High 1,387.50 1,386.50 -1.00 -0.1% 1,385.00
Low 1,375.75 1,371.00 -4.75 -0.3% 1,321.25
Close 1,380.50 1,374.50 -6.00 -0.4% 1,382.50
Range 11.75 15.50 3.75 31.9% 63.75
ATR 20.56 20.20 -0.36 -1.8% 0.00
Volume 1,483,220 1,774,239 291,019 19.6% 10,799,322
Daily Pivots for day following 31-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,423.75 1,414.75 1,383.00
R3 1,408.25 1,399.25 1,378.75
R2 1,392.75 1,392.75 1,377.25
R1 1,383.75 1,383.75 1,376.00 1,380.50
PP 1,377.25 1,377.25 1,377.25 1,375.75
S1 1,368.25 1,368.25 1,373.00 1,365.00
S2 1,361.75 1,361.75 1,371.75
S3 1,346.25 1,352.75 1,370.25
S4 1,330.75 1,337.25 1,366.00
Weekly Pivots for week ending 27-Jul-2012
Classic Woodie Camarilla DeMark
R4 1,554.25 1,532.00 1,417.50
R3 1,490.50 1,468.25 1,400.00
R2 1,426.75 1,426.75 1,394.25
R1 1,404.50 1,404.50 1,388.25 1,415.50
PP 1,363.00 1,363.00 1,363.00 1,368.50
S1 1,340.75 1,340.75 1,376.75 1,352.00
S2 1,299.25 1,299.25 1,370.75
S3 1,235.50 1,277.00 1,365.00
S4 1,171.75 1,213.25 1,347.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,387.50 1,321.25 66.25 4.8% 21.75 1.6% 80% False False 1,973,703
10 1,387.50 1,321.25 66.25 4.8% 20.00 1.5% 80% False False 1,939,650
20 1,387.50 1,319.75 67.75 4.9% 19.00 1.4% 81% False False 1,697,057
40 1,387.50 1,260.75 126.75 9.2% 20.75 1.5% 90% False False 1,822,885
60 1,387.50 1,255.50 132.00 9.6% 21.00 1.5% 90% False False 1,218,481
80 1,405.00 1,255.50 149.50 10.9% 20.25 1.5% 80% False False 914,268
100 1,413.50 1,255.50 158.00 11.5% 19.00 1.4% 75% False False 731,666
120 1,413.50 1,255.50 158.00 11.5% 17.50 1.3% 75% False False 609,727
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 True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.98
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,452.50
2.618 1,427.00
1.618 1,411.50
1.000 1,402.00
0.618 1,396.00
HIGH 1,386.50
0.618 1,380.50
0.500 1,378.75
0.382 1,377.00
LOW 1,371.00
0.618 1,361.50
1.000 1,355.50
1.618 1,346.00
2.618 1,330.50
4.250 1,305.00
Fisher Pivots for day following 31-Jul-2012
Pivot 1 day 3 day
R1 1,378.75 1,373.00
PP 1,377.25 1,371.50
S1 1,376.00 1,370.00

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

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