E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 07-Nov-2011
Day Change Summary
Previous Current
04-Nov-2011 07-Nov-2011 Change Change % Previous Week
Open 1,255.75 1,253.25 -2.50 -0.2% 1,280.00
High 1,258.75 1,259.50 0.75 0.1% 1,280.75
Low 1,234.50 1,232.00 -2.50 -0.2% 1,208.50
Close 1,251.00 1,257.50 6.50 0.5% 1,251.00
Range 24.25 27.50 3.25 13.4% 72.25
ATR 32.46 32.11 -0.35 -1.1% 0.00
Volume 2,242,372 1,982,059 -260,313 -11.6% 13,208,495
Daily Pivots for day following 07-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,332.25 1,322.25 1,272.50
R3 1,304.75 1,294.75 1,265.00
R2 1,277.25 1,277.25 1,262.50
R1 1,267.25 1,267.25 1,260.00 1,272.25
PP 1,249.75 1,249.75 1,249.75 1,252.00
S1 1,239.75 1,239.75 1,255.00 1,244.75
S2 1,222.25 1,222.25 1,252.50
S3 1,194.75 1,212.25 1,250.00
S4 1,167.25 1,184.75 1,242.50
Weekly Pivots for week ending 04-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,463.50 1,429.50 1,290.75
R3 1,391.25 1,357.25 1,270.75
R2 1,319.00 1,319.00 1,264.25
R1 1,285.00 1,285.00 1,257.50 1,266.00
PP 1,246.75 1,246.75 1,246.75 1,237.25
S1 1,212.75 1,212.75 1,244.50 1,193.50
S2 1,174.50 1,174.50 1,237.75
S3 1,102.25 1,140.50 1,231.25
S4 1,030.00 1,068.25 1,211.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,259.75 1,208.50 51.25 4.1% 32.00 2.5% 96% False False 2,590,440
10 1,289.25 1,208.50 80.75 6.4% 31.75 2.5% 61% False False 2,570,235
20 1,289.25 1,180.75 108.50 8.6% 30.00 2.4% 71% False False 2,476,004
40 1,289.25 1,068.00 221.25 17.6% 33.50 2.7% 86% False False 2,802,932
60 1,289.25 1,068.00 221.25 17.6% 33.75 2.7% 86% False False 2,012,094
80 1,342.00 1,068.00 274.00 21.8% 35.25 2.8% 69% False False 1,510,319
100 1,348.75 1,068.00 280.75 22.3% 32.00 2.5% 67% False False 1,208,491
120 1,348.75 1,068.00 280.75 22.3% 29.25 2.3% 67% False False 1,007,122
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.68
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,376.50
2.618 1,331.50
1.618 1,304.00
1.000 1,287.00
0.618 1,276.50
HIGH 1,259.50
0.618 1,249.00
0.500 1,245.75
0.382 1,242.50
LOW 1,232.00
0.618 1,215.00
1.000 1,204.50
1.618 1,187.50
2.618 1,160.00
4.250 1,115.00
Fisher Pivots for day following 07-Nov-2011
Pivot 1 day 3 day
R1 1,253.50 1,250.50
PP 1,249.75 1,243.50
S1 1,245.75 1,236.50

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

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