E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 16-Dec-2011
Day Change Summary
Previous Current
15-Dec-2011 16-Dec-2011 Change Change % Previous Week
Open 1,212.75 1,218.25 5.50 0.5% 1,256.00
High 1,227.00 1,229.25 2.25 0.2% 1,260.50
Low 1,204.75 1,217.25 12.50 1.0% 1,204.75
Close 1,218.00 1,225.05 7.05 0.6% 1,225.05
Range 22.25 12.00 -10.25 -46.1% 55.75
ATR 29.28 28.04 -1.23 -4.2% 0.00
Volume 267,129 75,185 -191,944 -71.9% 2,843,828
Daily Pivots for day following 16-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,259.75 1,254.50 1,231.75
R3 1,247.75 1,242.50 1,228.25
R2 1,235.75 1,235.75 1,227.25
R1 1,230.50 1,230.50 1,226.25 1,233.25
PP 1,223.75 1,223.75 1,223.75 1,225.25
S1 1,218.50 1,218.50 1,224.00 1,221.25
S2 1,211.75 1,211.75 1,222.75
S3 1,199.75 1,206.50 1,221.75
S4 1,187.75 1,194.50 1,218.50
Weekly Pivots for week ending 16-Dec-2011
Classic Woodie Camarilla DeMark
R4 1,397.25 1,367.00 1,255.75
R3 1,341.50 1,311.25 1,240.50
R2 1,285.75 1,285.75 1,235.25
R1 1,255.50 1,255.50 1,230.25 1,242.75
PP 1,230.00 1,230.00 1,230.00 1,223.75
S1 1,199.75 1,199.75 1,220.00 1,187.00
S2 1,174.25 1,174.25 1,214.75
S3 1,118.50 1,144.00 1,209.75
S4 1,062.75 1,088.25 1,194.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,260.50 1,204.75 55.75 4.6% 24.75 2.0% 36% False False 568,765
10 1,272.00 1,204.75 67.25 5.5% 26.00 2.1% 30% False False 1,366,760
20 1,272.00 1,147.50 124.50 10.2% 26.50 2.2% 62% False False 1,826,501
40 1,289.25 1,147.50 141.75 11.6% 28.75 2.4% 55% False False 2,148,060
60 1,289.25 1,068.00 221.25 18.1% 30.75 2.5% 71% False False 2,371,452
80 1,289.25 1,068.00 221.25 18.1% 31.50 2.6% 71% False False 2,209,821
100 1,307.00 1,068.00 239.00 19.5% 34.25 2.8% 66% False False 1,769,190
120 1,348.75 1,068.00 280.75 22.9% 31.75 2.6% 56% False False 1,474,588
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 6.95
Narrowest range in 34 trading days
Fibonacci Retracements and Extensions
4.250 1,280.25
2.618 1,260.75
1.618 1,248.75
1.000 1,241.25
0.618 1,236.75
HIGH 1,229.25
0.618 1,224.75
0.500 1,223.25
0.382 1,221.75
LOW 1,217.25
0.618 1,209.75
1.000 1,205.25
1.618 1,197.75
2.618 1,185.75
4.250 1,166.25
Fisher Pivots for day following 16-Dec-2011
Pivot 1 day 3 day
R1 1,224.50 1,223.00
PP 1,223.75 1,220.75
S1 1,223.25 1,218.50

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

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