E-mini S&P 500 Future March 2011


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 1,034.75 1,046.50 11.75 1.1% 1,063.75
High 1,043.50 1,071.50 28.00 2.7% 1,069.25
Low 1,029.00 1,041.00 12.00 1.2% 1,028.25
Close 1,038.25 1,071.50 33.25 3.2% 1,053.75
Range 14.50 30.50 16.00 110.3% 41.00
ATR 18.46 19.51 1.06 5.7% 0.00
Volume 5 22 17 340.0% 124
Daily Pivots for day following 01-Sep-2010
Classic Woodie Camarilla DeMark
R4 1,152.75 1,142.75 1,088.25
R3 1,122.25 1,112.25 1,080.00
R2 1,091.75 1,091.75 1,077.00
R1 1,081.75 1,081.75 1,074.25 1,086.75
PP 1,061.25 1,061.25 1,061.25 1,064.00
S1 1,051.25 1,051.25 1,068.75 1,056.25
S2 1,030.75 1,030.75 1,066.00
S3 1,000.25 1,020.75 1,063.00
S4 969.75 990.25 1,054.75
Weekly Pivots for week ending 27-Aug-2010
Classic Woodie Camarilla DeMark
R4 1,173.50 1,154.50 1,076.25
R3 1,132.50 1,113.50 1,065.00
R2 1,091.50 1,091.50 1,061.25
R1 1,072.50 1,072.50 1,057.50 1,061.50
PP 1,050.50 1,050.50 1,050.50 1,045.00
S1 1,031.50 1,031.50 1,050.00 1,020.50
S2 1,009.50 1,009.50 1,046.25
S3 968.50 990.50 1,042.50
S4 927.50 949.50 1,031.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,071.50 1,028.25 43.25 4.0% 22.75 2.1% 100% True False 26
10 1,084.00 1,028.25 55.75 5.2% 19.50 1.8% 78% False False 18
20 1,117.50 1,028.25 89.25 8.3% 16.75 1.6% 48% False False 19
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 5.48
Widest range in 29 trading days
Fibonacci Retracements and Extensions
4.250 1,201.00
2.618 1,151.25
1.618 1,120.75
1.000 1,102.00
0.618 1,090.25
HIGH 1,071.50
0.618 1,059.75
0.500 1,056.25
0.382 1,052.75
LOW 1,041.00
0.618 1,022.25
1.000 1,010.50
1.618 991.75
2.618 961.25
4.250 911.50
Fisher Pivots for day following 01-Sep-2010
Pivot 1 day 3 day
R1 1,066.50 1,064.50
PP 1,061.25 1,057.25
S1 1,056.25 1,050.25

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

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