E-mini S&P 500 Future September 2007


Trading Metrics calculated at close of trading on 26-Jul-2007
Day Change Summary
Previous Current
25-Jul-2007 26-Jul-2007 Change Change % Previous Week
Open 1,522.50 1,523.50 1.00 0.1% 1,560.25
High 1,532.25 1,529.50 -2.75 -0.2% 1,566.25
Low 1,510.50 1,471.00 -39.50 -2.6% 1,537.25
Close 1,524.75 1,488.00 -36.75 -2.4% 1,545.00
Range 21.75 58.50 36.75 169.0% 29.00
ATR 18.29 21.16 2.87 15.7% 0.00
Volume 2,101,765 2,385,315 283,550 13.5% 6,934,958
Daily Pivots for day following 26-Jul-2007
Classic Woodie Camarilla DeMark
R4 1,671.75 1,638.25 1,520.25
R3 1,613.25 1,579.75 1,504.00
R2 1,554.75 1,554.75 1,498.75
R1 1,521.25 1,521.25 1,493.25 1,508.75
PP 1,496.25 1,496.25 1,496.25 1,490.00
S1 1,462.75 1,462.75 1,482.75 1,450.25
S2 1,437.75 1,437.75 1,477.25
S3 1,379.25 1,404.25 1,472.00
S4 1,320.75 1,345.75 1,455.75
Weekly Pivots for week ending 20-Jul-2007
Classic Woodie Camarilla DeMark
R4 1,636.50 1,619.75 1,561.00
R3 1,607.50 1,590.75 1,553.00
R2 1,578.50 1,578.50 1,550.25
R1 1,561.75 1,561.75 1,547.75 1,555.50
PP 1,549.50 1,549.50 1,549.50 1,546.50
S1 1,532.75 1,532.75 1,542.25 1,526.50
S2 1,520.50 1,520.50 1,539.75
S3 1,491.50 1,503.75 1,537.00
S4 1,462.50 1,474.75 1,529.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,561.75 1,471.00 90.75 6.1% 30.50 2.1% 19% False True 1,833,018
10 1,566.25 1,471.00 95.25 6.4% 21.75 1.5% 18% False True 1,641,551
20 1,566.25 1,471.00 95.25 6.4% 19.25 1.3% 18% False True 1,434,846
40 1,566.25 1,471.00 95.25 6.4% 19.00 1.3% 18% False True 1,334,081
60 1,566.25 1,471.00 95.25 6.4% 16.75 1.1% 18% False True 890,394
80 1,566.25 1,456.00 110.25 7.4% 15.25 1.0% 29% False False 668,005
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.85
Widest range in 92 trading days
Fibonacci Retracements and Extensions
4.250 1,778.00
2.618 1,682.75
1.618 1,624.25
1.000 1,588.00
0.618 1,565.75
HIGH 1,529.50
0.618 1,507.25
0.500 1,500.25
0.382 1,493.25
LOW 1,471.00
0.618 1,434.75
1.000 1,412.50
1.618 1,376.25
2.618 1,317.75
4.250 1,222.50
Fisher Pivots for day following 26-Jul-2007
Pivot 1 day 3 day
R1 1,500.25 1,511.50
PP 1,496.25 1,503.50
S1 1,492.00 1,495.75

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

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