E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 13-Jun-2011
Day Change Summary
Previous Current
10-Jun-2011 13-Jun-2011 Change Change % Previous Week
Open 1,282.25 1,265.00 -17.25 -1.3% 1,293.50
High 1,283.50 1,271.75 -11.75 -0.9% 1,295.00
Low 1,261.75 1,259.50 -2.25 -0.2% 1,261.75
Close 1,263.75 1,266.25 2.50 0.2% 1,263.75
Range 21.75 12.25 -9.50 -43.7% 33.25
ATR 16.86 16.53 -0.33 -2.0% 0.00
Volume 2,355,546 2,517,158 161,612 6.9% 3,787,120
Daily Pivots for day following 13-Jun-2011
Classic Woodie Camarilla DeMark
R4 1,302.50 1,296.75 1,273.00
R3 1,290.25 1,284.50 1,269.50
R2 1,278.00 1,278.00 1,268.50
R1 1,272.25 1,272.25 1,267.25 1,275.00
PP 1,265.75 1,265.75 1,265.75 1,267.25
S1 1,260.00 1,260.00 1,265.25 1,263.00
S2 1,253.50 1,253.50 1,264.00
S3 1,241.25 1,247.75 1,263.00
S4 1,229.00 1,235.50 1,259.50
Weekly Pivots for week ending 10-Jun-2011
Classic Woodie Camarilla DeMark
R4 1,373.25 1,351.75 1,282.00
R3 1,340.00 1,318.50 1,273.00
R2 1,306.75 1,306.75 1,269.75
R1 1,285.25 1,285.25 1,266.75 1,279.50
PP 1,273.50 1,273.50 1,273.50 1,270.50
S1 1,252.00 1,252.00 1,260.75 1,246.00
S2 1,240.25 1,240.25 1,257.75
S3 1,207.00 1,218.75 1,254.50
S4 1,173.75 1,185.50 1,245.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,290.00 1,259.50 30.50 2.4% 15.25 1.2% 22% False True 1,244,440
10 1,342.50 1,259.50 83.00 6.6% 18.00 1.4% 8% False True 634,654
20 1,342.50 1,259.50 83.00 6.6% 16.25 1.3% 8% False True 319,275
40 1,367.50 1,259.50 108.00 8.5% 16.25 1.3% 6% False True 160,533
60 1,367.50 1,256.50 111.00 8.8% 15.50 1.2% 9% False False 107,418
80 1,367.50 1,237.25 130.25 10.3% 17.00 1.3% 22% False False 80,585
100 1,367.50 1,237.25 130.25 10.3% 16.00 1.3% 22% False False 64,469
120 1,367.50 1,236.50 131.00 10.3% 14.75 1.2% 23% False False 53,738
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
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 2.68
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,323.75
2.618 1,303.75
1.618 1,291.50
1.000 1,284.00
0.618 1,279.25
HIGH 1,271.75
0.618 1,267.00
0.500 1,265.50
0.382 1,264.25
LOW 1,259.50
0.618 1,252.00
1.000 1,247.25
1.618 1,239.75
2.618 1,227.50
4.250 1,207.50
Fisher Pivots for day following 13-Jun-2011
Pivot 1 day 3 day
R1 1,266.00 1,274.00
PP 1,265.75 1,271.50
S1 1,265.50 1,268.75

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

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