E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 05-May-2011
Day Change Summary
Previous Current
04-May-2011 05-May-2011 Change Change % Previous Week
Open 1,345.50 1,339.00 -6.50 -0.5% 1,325.25
High 1,349.25 1,343.00 -6.25 -0.5% 1,358.25
Low 1,332.50 1,319.75 -12.75 -1.0% 1,322.25
Close 1,337.75 1,329.50 -8.25 -0.6% 1,354.50
Range 16.75 23.25 6.50 38.8% 36.00
ATR 14.70 15.31 0.61 4.2% 0.00
Volume 1,867 537 -1,330 -71.2% 8,625
Daily Pivots for day following 05-May-2011
Classic Woodie Camarilla DeMark
R4 1,400.50 1,388.25 1,342.25
R3 1,377.25 1,365.00 1,336.00
R2 1,354.00 1,354.00 1,333.75
R1 1,341.75 1,341.75 1,331.75 1,336.25
PP 1,330.75 1,330.75 1,330.75 1,328.00
S1 1,318.50 1,318.50 1,327.25 1,313.00
S2 1,307.50 1,307.50 1,325.25
S3 1,284.25 1,295.25 1,323.00
S4 1,261.00 1,272.00 1,316.75
Weekly Pivots for week ending 29-Apr-2011
Classic Woodie Camarilla DeMark
R4 1,453.00 1,439.75 1,374.25
R3 1,417.00 1,403.75 1,364.50
R2 1,381.00 1,381.00 1,361.00
R1 1,367.75 1,367.75 1,357.75 1,374.50
PP 1,345.00 1,345.00 1,345.00 1,348.25
S1 1,331.75 1,331.75 1,351.25 1,338.50
S2 1,309.00 1,309.00 1,348.00
S3 1,273.00 1,295.75 1,344.50
S4 1,237.00 1,259.75 1,334.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,367.50 1,319.75 47.75 3.6% 16.25 1.2% 20% False True 1,196
10 1,367.50 1,319.75 47.75 3.6% 14.00 1.0% 20% False True 1,492
20 1,367.50 1,285.25 82.25 6.2% 15.00 1.1% 54% False False 1,639
40 1,367.50 1,237.25 130.25 9.8% 16.50 1.2% 71% False False 1,208
60 1,367.50 1,237.25 130.25 9.8% 16.25 1.2% 71% False False 826
80 1,367.50 1,237.25 130.25 9.8% 15.50 1.2% 71% False False 639
100 1,367.50 1,225.00 142.50 10.7% 13.50 1.0% 73% False False 513
120 1,367.50 1,162.75 204.75 15.4% 11.50 0.9% 81% False False 428
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 3.18
Widest range in 12 trading days
Fibonacci Retracements and Extensions
4.250 1,441.75
2.618 1,403.75
1.618 1,380.50
1.000 1,366.25
0.618 1,357.25
HIGH 1,343.00
0.618 1,334.00
0.500 1,331.50
0.382 1,328.75
LOW 1,319.75
0.618 1,305.50
1.000 1,296.50
1.618 1,282.25
2.618 1,259.00
4.250 1,221.00
Fisher Pivots for day following 05-May-2011
Pivot 1 day 3 day
R1 1,331.50 1,336.25
PP 1,330.75 1,334.00
S1 1,330.00 1,331.75

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

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