E-mini S&P 500 Future September 2010

Trading Metrics calculated at close of trading on 01-Jul-2010

Day Change Summary
	Previous	Current
	30-Jun-2010	01-Jul-2010	Change	Change %	Previous Week
Open	1,035.25	1,024.50	-10.75	-1.0%	1,116.00
High	1,044.50	1,029.75	-14.75	-1.4%	1,129.50
Low	1,023.00	1,006.00	-17.00	-1.7%	1,062.75
Close	1,026.50	1,021.75	-4.75	-0.5%	1,074.75
Range	21.50	23.75	2.25	10.5%	66.75
ATR	24.65	24.58	-0.06	-0.3%	0.00
Volume	3,109,449	2,622,061	-487,388	-15.7%	10,867,825

Daily Pivots for day following 01-Jul-2010
	Classic	Woodie	Camarilla	DeMark
R4	1,090.50	1,079.75	1,034.75
R3	1,066.75	1,056.00	1,028.25
R2	1,043.00	1,043.00	1,026.00
R1	1,032.25	1,032.25	1,024.00	1,025.75
PP	1,019.25	1,019.25	1,019.25	1,016.00
S1	1,008.50	1,008.50	1,019.50	1,002.00
S2	995.50	995.50	1,017.50
S3	971.75	984.75	1,015.25
S4	948.00	961.00	1,008.75

Weekly Pivots for week ending 25-Jun-2010
	Classic	Woodie	Camarilla	DeMark
R4	1,289.25	1,248.75	1,111.50
R3	1,222.50	1,182.00	1,093.00
R2	1,155.75	1,155.75	1,087.00
R1	1,115.25	1,115.25	1,080.75	1,102.00
PP	1,089.00	1,089.00	1,089.00	1,082.50
S1	1,048.50	1,048.50	1,068.75	1,035.50
S2	1,022.25	1,022.25	1,062.50
S3	955.50	981.75	1,056.50
S4	888.75	915.00	1,038.00

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,079.75	1,006.00	73.75	7.2%	24.00	2.3%	21%	False	True	2,484,987
10	1,129.50	1,006.00	123.50	12.1%	22.50	2.2%	13%	False	True	2,345,606
20	1,129.50	1,006.00	123.50	12.1%	23.75	2.3%	13%	False	True	1,798,903
40	1,170.00	1,006.00	164.00	16.1%	29.75	2.9%	10%	False	True	905,726
60	1,211.50	1,006.00	205.50	20.1%	25.25	2.5%	8%	False	True	604,533
80	1,211.50	1,006.00	205.50	20.1%	21.75	2.1%	8%	False	True	453,611
100	1,211.50	1,006.00	205.50	20.1%	19.75	1.9%	8%	False	True	362,899

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	6.58
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,130.75
2.618	1,092.00
1.618	1,068.25
1.000	1,053.50
0.618	1,044.50
HIGH	1,029.75
0.618	1,020.75
0.500	1,018.00
0.382	1,015.00
LOW	1,006.00
0.618	991.25
1.000	982.25
1.618	967.50
2.618	943.75
4.250	905.00

Fisher Pivots for day following 01-Jul-2010
Pivot	1 day	3 day
R1	1,020.50	1,040.50
PP	1,019.25	1,034.25
S1	1,018.00	1,028.00

Download as Excel Spreadsheet

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

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