E-mini S&P 500 Future December 2010


Trading Metrics calculated at close of trading on 01-Sep-2010
Day Change Summary
Previous Current
31-Aug-2010 01-Sep-2010 Change Change % Previous Week
Open 1,040.00 1,047.00 7.00 0.7% 1,065.00
High 1,049.00 1,077.50 28.50 2.7% 1,075.25
Low 1,032.75 1,045.75 13.00 1.3% 1,032.50
Close 1,043.25 1,076.75 33.50 3.2% 1,058.75
Range 16.25 31.75 15.50 95.4% 42.75
ATR 20.08 21.09 1.01 5.0% 0.00
Volume 11,631 19,173 7,542 64.8% 41,993
Daily Pivots for day following 01-Sep-2010
Classic Woodie Camarilla DeMark
R4 1,162.00 1,151.00 1,094.25
R3 1,130.25 1,119.25 1,085.50
R2 1,098.50 1,098.50 1,082.50
R1 1,087.50 1,087.50 1,079.75 1,093.00
PP 1,066.75 1,066.75 1,066.75 1,069.50
S1 1,055.75 1,055.75 1,073.75 1,061.25
S2 1,035.00 1,035.00 1,071.00
S3 1,003.25 1,024.00 1,068.00
S4 971.50 992.25 1,059.25
Weekly Pivots for week ending 27-Aug-2010
Classic Woodie Camarilla DeMark
R4 1,183.75 1,164.00 1,082.25
R3 1,141.00 1,121.25 1,070.50
R2 1,098.25 1,098.25 1,066.50
R1 1,078.50 1,078.50 1,062.75 1,067.00
PP 1,055.50 1,055.50 1,055.50 1,049.75
S1 1,035.75 1,035.75 1,054.75 1,024.25
S2 1,012.75 1,012.75 1,051.00
S3 970.00 993.00 1,047.00
S4 927.25 950.25 1,035.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,077.50 1,032.50 45.00 4.2% 24.25 2.2% 98% True False 12,412
10 1,089.50 1,032.50 57.00 5.3% 21.75 2.0% 78% False False 10,082
20 1,122.50 1,032.50 90.00 8.4% 20.00 1.8% 49% False False 6,468
40 1,122.50 1,032.50 90.00 8.4% 19.50 1.8% 49% False False 4,741
60 1,125.00 998.75 126.25 11.7% 20.75 1.9% 62% False False 3,532
80 1,164.75 998.75 166.00 15.4% 22.75 2.1% 47% False False 2,673
100 1,208.00 998.75 209.25 19.4% 22.75 2.1% 37% False False 2,166
120 1,208.00 998.75 209.25 19.4% 20.50 1.9% 37% False False 1,812
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 5.63
Widest range in 15 trading days
Fibonacci Retracements and Extensions
4.250 1,212.50
2.618 1,160.50
1.618 1,128.75
1.000 1,109.25
0.618 1,097.00
HIGH 1,077.50
0.618 1,065.25
0.500 1,061.50
0.382 1,058.00
LOW 1,045.75
0.618 1,026.25
1.000 1,014.00
1.618 994.50
2.618 962.75
4.250 910.75
Fisher Pivots for day following 01-Sep-2010
Pivot 1 day 3 day
R1 1,071.75 1,069.50
PP 1,066.75 1,062.25
S1 1,061.50 1,055.00

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

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