E-mini S&P 500 Future September 2007


Trading Metrics calculated at close of trading on 15-Jun-2007
Day Change Summary
Previous Current
14-Jun-2007 15-Jun-2007 Change Change % Previous Week
Open 1,529.50 1,539.50 10.00 0.7% 1,521.75
High 1,542.00 1,554.00 12.00 0.8% 1,554.00
Low 1,528.50 1,538.25 9.75 0.6% 1,503.75
Close 1,539.50 1,547.75 8.25 0.5% 1,547.75
Range 13.50 15.75 2.25 16.7% 50.25
ATR 16.32 16.28 -0.04 -0.2% 0.00
Volume 2,122,247 1,712,047 -410,200 -19.3% 9,805,007
Daily Pivots for day following 15-Jun-2007
Classic Woodie Camarilla DeMark
R4 1,594.00 1,586.50 1,556.50
R3 1,578.25 1,570.75 1,552.00
R2 1,562.50 1,562.50 1,550.75
R1 1,555.00 1,555.00 1,549.25 1,558.75
PP 1,546.75 1,546.75 1,546.75 1,548.50
S1 1,539.25 1,539.25 1,546.25 1,543.00
S2 1,531.00 1,531.00 1,544.75
S3 1,515.25 1,523.50 1,543.50
S4 1,499.50 1,507.75 1,539.00
Weekly Pivots for week ending 15-Jun-2007
Classic Woodie Camarilla DeMark
R4 1,686.00 1,667.00 1,575.50
R3 1,635.75 1,616.75 1,561.50
R2 1,585.50 1,585.50 1,557.00
R1 1,566.50 1,566.50 1,552.25 1,576.00
PP 1,535.25 1,535.25 1,535.25 1,540.00
S1 1,516.25 1,516.25 1,543.25 1,525.75
S2 1,485.00 1,485.00 1,538.50
S3 1,434.75 1,466.00 1,534.00
S4 1,384.50 1,415.75 1,520.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,554.00 1,503.75 50.25 3.2% 18.00 1.2% 88% True False 1,961,001
10 1,557.50 1,494.25 63.25 4.1% 20.00 1.3% 85% False False 1,208,317
20 1,557.75 1,494.25 63.50 4.1% 16.25 1.0% 84% False False 607,801
40 1,557.75 1,493.25 64.50 4.2% 13.75 0.9% 84% False False 304,680
60 1,557.75 1,431.75 126.00 8.1% 13.00 0.8% 92% False False 203,395
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 False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.35
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,621.00
2.618 1,595.25
1.618 1,579.50
1.000 1,569.75
0.618 1,563.75
HIGH 1,554.00
0.618 1,548.00
0.500 1,546.00
0.382 1,544.25
LOW 1,538.25
0.618 1,528.50
1.000 1,522.50
1.618 1,512.75
2.618 1,497.00
4.250 1,471.25
Fisher Pivots for day following 15-Jun-2007
Pivot 1 day 3 day
R1 1,547.25 1,541.50
PP 1,546.75 1,535.25
S1 1,546.00 1,529.00

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

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