E-mini S&P 500 Future September 2011

Trading Metrics calculated at close of trading on 06-Jul-2011

Day Change Summary
	Previous	Current
	05-Jul-2011	06-Jul-2011	Change	Change %	Previous Week
Open	1,334.50	1,336.00	1.50	0.1%	1,265.00
High	1,337.75	1,340.75	3.00	0.2%	1,336.50
Low	1,328.25	1,326.50	-1.75	-0.1%	1,257.00
Close	1,336.75	1,335.75	-1.00	-0.1%	1,334.75
Range	9.50	14.25	4.75	50.0%	79.50
ATR	18.37	18.08	-0.29	-1.6%	0.00
Volume	1,955,127	1,816,163	-138,964	-7.1%	10,213,119

Daily Pivots for day following 06-Jul-2011
	Classic	Woodie	Camarilla	DeMark
R4	1,377.00	1,370.75	1,343.50
R3	1,362.75	1,356.50	1,339.75
R2	1,348.50	1,348.50	1,338.25
R1	1,342.25	1,342.25	1,337.00	1,338.25
PP	1,334.25	1,334.25	1,334.25	1,332.50
S1	1,328.00	1,328.00	1,334.50	1,324.00
S2	1,320.00	1,320.00	1,333.25
S3	1,305.75	1,313.75	1,331.75
S4	1,291.50	1,299.50	1,328.00

Weekly Pivots for week ending 01-Jul-2011
	Classic	Woodie	Camarilla	DeMark
R4	1,548.00	1,520.75	1,378.50
R3	1,468.50	1,441.25	1,356.50
R2	1,389.00	1,389.00	1,349.25
R1	1,361.75	1,361.75	1,342.00	1,375.50
PP	1,309.50	1,309.50	1,309.50	1,316.25
S1	1,282.25	1,282.25	1,327.50	1,296.00
S2	1,230.00	1,230.00	1,320.25
S3	1,150.50	1,202.75	1,313.00
S4	1,071.00	1,123.25	1,291.00

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,340.75	1,291.50	49.25	3.7%	15.50	1.2%	90%	True	False	2,016,231
10	1,340.75	1,257.00	83.75	6.3%	18.50	1.4%	94%	True	False	2,086,891
20	1,340.75	1,252.25	88.50	6.6%	18.75	1.4%	94%	True	False	2,140,332
40	1,352.75	1,252.25	100.50	7.5%	18.00	1.3%	83%	False	False	1,076,680
60	1,367.50	1,252.25	115.25	8.6%	17.00	1.3%	72%	False	False	718,421
80	1,367.50	1,237.25	130.25	9.8%	17.00	1.3%	76%	False	False	539,029
100	1,367.50	1,237.25	130.25	9.8%	17.00	1.3%	76%	False	False	431,236
120	1,367.50	1,237.25	130.25	9.8%	16.50	1.2%	76%	False	False	359,366

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	False
WS5	False
WS7	False
ID	False
OD	True
IDnr4	False
2BNR	True
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	4.28
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,401.25
2.618	1,378.00
1.618	1,363.75
1.000	1,355.00
0.618	1,349.50
HIGH	1,340.75
0.618	1,335.25
0.500	1,333.50
0.382	1,332.00
LOW	1,326.50
0.618	1,317.75
1.000	1,312.25
1.618	1,303.50
2.618	1,289.25
4.250	1,266.00

Fisher Pivots for day following 06-Jul-2011
Pivot	1 day	3 day
R1	1,335.00	1,332.75
PP	1,334.25	1,329.75
S1	1,333.50	1,326.50

Download as Excel Spreadsheet

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

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