E-mini S&P 500 Future September 2007


Trading Metrics calculated at close of trading on 02-Jul-2007
Day Change Summary
Previous Current
29-Jun-2007 02-Jul-2007 Change Change % Previous Week
Open 1,517.75 1,515.25 -2.50 -0.2% 1,519.25
High 1,530.25 1,532.75 2.50 0.2% 1,530.25
Low 1,504.50 1,514.75 10.25 0.7% 1,492.00
Close 1,515.50 1,531.00 15.50 1.0% 1,515.50
Range 25.75 18.00 -7.75 -30.1% 38.25
ATR 18.60 18.56 -0.04 -0.2% 0.00
Volume 1,376,602 1,772,352 395,750 28.7% 8,673,201
Daily Pivots for day following 02-Jul-2007
Classic Woodie Camarilla DeMark
R4 1,580.25 1,573.50 1,541.00
R3 1,562.25 1,555.50 1,536.00
R2 1,544.25 1,544.25 1,534.25
R1 1,537.50 1,537.50 1,532.75 1,541.00
PP 1,526.25 1,526.25 1,526.25 1,527.75
S1 1,519.50 1,519.50 1,529.25 1,523.00
S2 1,508.25 1,508.25 1,527.75
S3 1,490.25 1,501.50 1,526.00
S4 1,472.25 1,483.50 1,521.00
Weekly Pivots for week ending 29-Jun-2007
Classic Woodie Camarilla DeMark
R4 1,627.25 1,609.75 1,536.50
R3 1,589.00 1,571.50 1,526.00
R2 1,550.75 1,550.75 1,522.50
R1 1,533.25 1,533.25 1,519.00 1,523.00
PP 1,512.50 1,512.50 1,512.50 1,507.50
S1 1,495.00 1,495.00 1,512.00 1,484.50
S2 1,474.25 1,474.25 1,508.50
S3 1,436.00 1,456.75 1,505.00
S4 1,397.75 1,418.50 1,494.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,532.75 1,492.00 40.75 2.7% 21.25 1.4% 96% True False 1,752,975
10 1,554.25 1,492.00 62.25 4.1% 21.00 1.4% 63% False False 1,611,848
20 1,556.25 1,492.00 64.25 4.2% 20.50 1.3% 61% False False 1,477,600
40 1,557.75 1,492.00 65.75 4.3% 16.25 1.1% 59% False False 741,561
60 1,557.75 1,456.00 101.75 6.6% 14.50 0.9% 74% False False 494,654
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 5.73
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,609.25
2.618 1,579.75
1.618 1,561.75
1.000 1,550.75
0.618 1,543.75
HIGH 1,532.75
0.618 1,525.75
0.500 1,523.75
0.382 1,521.75
LOW 1,514.75
0.618 1,503.75
1.000 1,496.75
1.618 1,485.75
2.618 1,467.75
4.250 1,438.25
Fisher Pivots for day following 02-Jul-2007
Pivot 1 day 3 day
R1 1,528.50 1,527.00
PP 1,526.25 1,522.75
S1 1,523.75 1,518.50

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

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