E-mini S&P 500 Future September 2007


Trading Metrics calculated at close of trading on 20-Jun-2007
Day Change Summary
Previous Current
19-Jun-2007 20-Jun-2007 Change Change % Previous Week
Open 1,545.50 1,548.75 3.25 0.2% 1,521.75
High 1,550.75 1,554.25 3.50 0.2% 1,554.00
Low 1,540.50 1,525.25 -15.25 -1.0% 1,503.75
Close 1,549.00 1,527.00 -22.00 -1.4% 1,547.75
Range 10.25 29.00 18.75 182.9% 50.25
ATR 15.38 16.35 0.97 6.3% 0.00
Volume 852,555 1,070,708 218,153 25.6% 9,805,007
Daily Pivots for day following 20-Jun-2007
Classic Woodie Camarilla DeMark
R4 1,622.50 1,603.75 1,543.00
R3 1,593.50 1,574.75 1,535.00
R2 1,564.50 1,564.50 1,532.25
R1 1,545.75 1,545.75 1,529.75 1,540.50
PP 1,535.50 1,535.50 1,535.50 1,533.00
S1 1,516.75 1,516.75 1,524.25 1,511.50
S2 1,506.50 1,506.50 1,521.75
S3 1,477.50 1,487.75 1,519.00
S4 1,448.50 1,458.75 1,511.00
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 1,554.25 1,525.25 29.00 1.9% 15.50 1.0% 6% True True 1,424,835
10 1,554.25 1,494.25 60.00 3.9% 20.50 1.3% 55% True False 1,513,402
20 1,557.75 1,494.25 63.50 4.2% 17.00 1.1% 52% False False 772,091
40 1,557.75 1,494.25 63.50 4.2% 14.25 0.9% 52% False False 386,883
60 1,557.75 1,431.75 126.00 8.3% 13.25 0.9% 76% False False 258,174
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.08
Widest range in 8 trading days
Fibonacci Retracements and Extensions
4.250 1,677.50
2.618 1,630.25
1.618 1,601.25
1.000 1,583.25
0.618 1,572.25
HIGH 1,554.25
0.618 1,543.25
0.500 1,539.75
0.382 1,536.25
LOW 1,525.25
0.618 1,507.25
1.000 1,496.25
1.618 1,478.25
2.618 1,449.25
4.250 1,402.00
Fisher Pivots for day following 20-Jun-2007
Pivot 1 day 3 day
R1 1,539.75 1,539.75
PP 1,535.50 1,535.50
S1 1,531.25 1,531.25

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

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