E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 28-Jun-2011
Day Change Summary
Previous Current
27-Jun-2011 28-Jun-2011 Change Change % Previous Week
Open 1,265.00 1,277.00 12.00 0.9% 1,265.00
High 1,280.00 1,295.00 15.00 1.2% 1,293.75
Low 1,257.00 1,271.50 14.50 1.2% 1,256.25
Close 1,276.25 1,294.50 18.25 1.4% 1,264.00
Range 23.00 23.50 0.50 2.2% 37.50
ATR 19.00 19.32 0.32 1.7% 0.00
Volume 1,990,372 1,912,881 -77,491 -3.9% 10,634,050
Daily Pivots for day following 28-Jun-2011
Classic Woodie Camarilla DeMark
R4 1,357.50 1,349.50 1,307.50
R3 1,334.00 1,326.00 1,301.00
R2 1,310.50 1,310.50 1,298.75
R1 1,302.50 1,302.50 1,296.75 1,306.50
PP 1,287.00 1,287.00 1,287.00 1,289.00
S1 1,279.00 1,279.00 1,292.25 1,283.00
S2 1,263.50 1,263.50 1,290.25
S3 1,240.00 1,255.50 1,288.00
S4 1,216.50 1,232.00 1,281.50
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 1,295.00 1,257.00 38.00 2.9% 21.75 1.7% 99% True False 2,157,551
10 1,295.00 1,252.25 42.75 3.3% 21.25 1.6% 99% True False 2,376,547
20 1,342.50 1,252.25 90.25 7.0% 19.75 1.5% 47% False False 1,646,949
40 1,352.75 1,252.25 100.50 7.8% 18.00 1.4% 42% False False 824,927
60 1,367.50 1,252.25 115.25 8.9% 16.75 1.3% 37% False False 550,481
80 1,367.50 1,237.25 130.25 10.1% 17.25 1.3% 44% False False 413,018
100 1,367.50 1,237.25 130.25 10.1% 16.75 1.3% 44% False False 330,425
120 1,367.50 1,237.25 130.25 10.1% 16.25 1.3% 44% False False 275,367
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 5.23
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,395.00
2.618 1,356.50
1.618 1,333.00
1.000 1,318.50
0.618 1,309.50
HIGH 1,295.00
0.618 1,286.00
0.500 1,283.25
0.382 1,280.50
LOW 1,271.50
0.618 1,257.00
1.000 1,248.00
1.618 1,233.50
2.618 1,210.00
4.250 1,171.50
Fisher Pivots for day following 28-Jun-2011
Pivot 1 day 3 day
R1 1,290.75 1,288.25
PP 1,287.00 1,282.25
S1 1,283.25 1,276.00

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

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