E-mini S&P 500 Future September 2016


Trading Metrics calculated at close of trading on 27-Jun-2016
Day Change Summary
Previous Current
24-Jun-2016 27-Jun-2016 Change Change % Previous Week
Open 2,115.75 2,013.75 -102.00 -4.8% 2,071.00
High 2,119.50 2,022.50 -97.00 -4.6% 2,119.50
Low 1,999.00 1,981.50 -17.50 -0.9% 1,999.00
Close 2,018.50 1,985.00 -33.50 -1.7% 2,018.50
Range 120.50 41.00 -79.50 -66.0% 120.50
ATR 28.52 29.41 0.89 3.1% 0.00
Volume 4,174,598 3,021,015 -1,153,583 -27.6% 9,908,120
Daily Pivots for day following 27-Jun-2016
Classic Woodie Camarilla DeMark
R4 2,119.25 2,093.25 2,007.50
R3 2,078.25 2,052.25 1,996.25
R2 2,037.25 2,037.25 1,992.50
R1 2,011.25 2,011.25 1,988.75 2,003.75
PP 1,996.25 1,996.25 1,996.25 1,992.50
S1 1,970.25 1,970.25 1,981.25 1,962.75
S2 1,955.25 1,955.25 1,977.50
S3 1,914.25 1,929.25 1,973.75
S4 1,873.25 1,888.25 1,962.50
Weekly Pivots for week ending 24-Jun-2016
Classic Woodie Camarilla DeMark
R4 2,407.25 2,333.25 2,084.75
R3 2,286.75 2,212.75 2,051.75
R2 2,166.25 2,166.25 2,040.50
R1 2,092.25 2,092.25 2,029.50 2,069.00
PP 2,045.75 2,045.75 2,045.75 2,034.00
S1 1,971.75 1,971.75 2,007.50 1,948.50
S2 1,925.25 1,925.25 1,996.50
S3 1,804.75 1,851.25 1,985.25
S4 1,684.25 1,730.75 1,952.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 2,119.50 1,981.50 138.00 7.0% 44.00 2.2% 3% False True 2,266,134
10 2,119.50 1,981.50 138.00 7.0% 33.25 1.7% 3% False True 2,189,722
20 2,119.50 1,981.50 138.00 7.0% 25.50 1.3% 3% False True 1,373,243
40 2,119.50 1,981.50 138.00 7.0% 23.75 1.2% 3% False True 690,426
60 2,119.50 1,981.50 138.00 7.0% 23.00 1.2% 3% False True 461,264
80 2,119.50 1,950.50 169.00 8.5% 22.50 1.1% 20% False False 346,240
100 2,119.50 1,787.50 332.00 16.7% 25.00 1.3% 59% False False 277,056
120 2,119.50 1,787.50 332.00 16.7% 29.00 1.5% 59% False False 231,021
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 4.75
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 2,196.75
2.618 2,129.75
1.618 2,088.75
1.000 2,063.50
0.618 2,047.75
HIGH 2,022.50
0.618 2,006.75
0.500 2,002.00
0.382 1,997.25
LOW 1,981.50
0.618 1,956.25
1.000 1,940.50
1.618 1,915.25
2.618 1,874.25
4.250 1,807.25
Fisher Pivots for day following 27-Jun-2016
Pivot 1 day 3 day
R1 2,002.00 2,050.50
PP 1,996.25 2,028.75
S1 1,990.75 2,006.75

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

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