E-mini S&P 500 Future June 2011


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Trading Metrics calculated at close of trading on 15-Jun-2011
Day Change Summary
Previous Current
14-Jun-2011 15-Jun-2011 Change Change % Previous Week
Open 1,272.00 1,288.75 16.75 1.3% 1,298.75
High 1,292.50 1,289.00 -3.50 -0.3% 1,299.00
Low 1,270.50 1,261.25 -9.25 -0.7% 1,267.00
Close 1,290.00 1,265.50 -24.50 -1.9% 1,269.25
Range 22.00 27.75 5.75 26.1% 32.00
ATR 17.14 17.97 0.83 4.8% 0.00
Volume 1,067,019 756,871 -310,148 -29.1% 10,100,388
Daily Pivots for day following 15-Jun-2011
Classic Woodie Camarilla DeMark
R4 1,355.25 1,338.00 1,280.75
R3 1,327.50 1,310.25 1,273.25
R2 1,299.75 1,299.75 1,270.50
R1 1,282.50 1,282.50 1,268.00 1,277.25
PP 1,272.00 1,272.00 1,272.00 1,269.25
S1 1,254.75 1,254.75 1,263.00 1,249.50
S2 1,244.25 1,244.25 1,260.50
S3 1,216.50 1,227.00 1,257.75
S4 1,188.75 1,199.25 1,250.25
Weekly Pivots for week ending 10-Jun-2011
Classic Woodie Camarilla DeMark
R4 1,374.50 1,353.75 1,286.75
R3 1,342.50 1,321.75 1,278.00
R2 1,310.50 1,310.50 1,275.00
R1 1,289.75 1,289.75 1,272.25 1,284.00
PP 1,278.50 1,278.50 1,278.50 1,275.50
S1 1,257.75 1,257.75 1,266.25 1,252.00
S2 1,246.50 1,246.50 1,263.50
S3 1,214.50 1,225.75 1,260.50
S4 1,182.50 1,193.75 1,251.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,294.00 1,261.25 32.75 2.6% 20.50 1.6% 13% False True 1,157,948
10 1,317.75 1,261.25 56.50 4.5% 17.50 1.4% 8% False True 1,781,699
20 1,347.75 1,261.25 86.50 6.8% 17.25 1.4% 5% False True 1,851,993
40 1,373.50 1,261.25 112.25 8.9% 17.00 1.3% 4% False True 1,861,332
60 1,373.50 1,261.25 112.25 8.9% 16.00 1.3% 4% False True 1,810,768
80 1,373.50 1,241.25 132.25 10.5% 18.25 1.4% 18% False False 1,635,147
100 1,373.50 1,241.25 132.25 10.5% 17.00 1.3% 18% False False 1,308,422
120 1,373.50 1,241.00 132.50 10.5% 16.00 1.3% 18% False False 1,090,495
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 2.18
Widest range in 10 trading days
Fibonacci Retracements and Extensions
4.250 1,407.00
2.618 1,361.75
1.618 1,334.00
1.000 1,316.75
0.618 1,306.25
HIGH 1,289.00
0.618 1,278.50
0.500 1,275.00
0.382 1,271.75
LOW 1,261.25
0.618 1,244.00
1.000 1,233.50
1.618 1,216.25
2.618 1,188.50
4.250 1,143.25
Fisher Pivots for day following 15-Jun-2011
Pivot 1 day 3 day
R1 1,275.00 1,277.00
PP 1,272.00 1,273.00
S1 1,268.75 1,269.25

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

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