E-mini S&P 500 Future September 2011

Trading Metrics calculated at close of trading on 27-Jun-2011

Day Change Summary
	Previous	Current
	24-Jun-2011	27-Jun-2011	Change	Change %	Previous Week
Open	1,277.50	1,265.00	-12.50	-1.0%	1,265.00
High	1,286.00	1,280.00	-6.00	-0.5%	1,293.75
Low	1,261.25	1,257.00	-4.25	-0.3%	1,256.25
Close	1,264.00	1,276.25	12.25	1.0%	1,264.00
Range	24.75	23.00	-1.75	-7.1%	37.50
ATR	18.69	19.00	0.31	1.6%	0.00
Volume	1,699,703	1,990,372	290,669	17.1%	10,634,050

Daily Pivots for day following 27-Jun-2011
	Classic	Woodie	Camarilla	DeMark
R4	1,340.00	1,331.25	1,289.00
R3	1,317.00	1,308.25	1,282.50
R2	1,294.00	1,294.00	1,280.50
R1	1,285.25	1,285.25	1,278.25	1,289.50
PP	1,271.00	1,271.00	1,271.00	1,273.25
S1	1,262.25	1,262.25	1,274.25	1,266.50
S2	1,248.00	1,248.00	1,272.00
S3	1,225.00	1,239.25	1,270.00
S4	1,202.00	1,216.25	1,263.50

Weekly Pivots for week ending 24-Jun-2011
	Classic	Woodie	Camarilla	DeMark
R4	1,383.75	1,361.50	1,284.50
R3	1,346.25	1,324.00	1,274.25
R2	1,308.75	1,308.75	1,271.00
R1	1,286.50	1,286.50	1,267.50	1,279.00
PP	1,271.25	1,271.25	1,271.25	1,267.50
S1	1,249.00	1,249.00	1,260.50	1,241.50
S2	1,233.75	1,233.75	1,257.00
S3	1,196.25	1,211.50	1,253.75
S4	1,158.75	1,174.00	1,243.50

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,293.75	1,257.00	36.75	2.9%	21.25	1.7%	52%	False	True	2,189,881
10	1,293.75	1,252.25	41.50	3.3%	21.00	1.7%	58%	False	False	2,468,276
20	1,342.50	1,252.25	90.25	7.1%	19.50	1.5%	27%	False	False	1,551,465
40	1,367.50	1,252.25	115.25	9.0%	18.00	1.4%	21%	False	False	777,125
60	1,367.50	1,252.25	115.25	9.0%	16.50	1.3%	21%	False	False	518,613
80	1,367.50	1,237.25	130.25	10.2%	17.25	1.4%	30%	False	False	389,108
100	1,367.50	1,237.25	130.25	10.2%	16.75	1.3%	30%	False	False	311,296
120	1,367.50	1,237.25	130.25	10.2%	16.25	1.3%	30%	False	False	259,426

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	4.90
Narrowest range in 3 trading days

Fibonacci Retracements and Extensions
4.250	1,377.75
2.618	1,340.25
1.618	1,317.25
1.000	1,303.00
0.618	1,294.25
HIGH	1,280.00
0.618	1,271.25
0.500	1,268.50
0.382	1,265.75
LOW	1,257.00
0.618	1,242.75
1.000	1,234.00
1.618	1,219.75
2.618	1,196.75
4.250	1,159.25

Fisher Pivots for day following 27-Jun-2011
Pivot	1 day	3 day
R1	1,273.75	1,274.75
PP	1,271.00	1,273.00
S1	1,268.50	1,271.50

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

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