E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 08-Jul-2011
Day Change Summary
Previous Current
07-Jul-2011 08-Jul-2011 Change Change % Previous Week
Open 1,336.00 1,351.50 15.50 1.2% 1,334.50
High 1,352.75 1,354.50 1.75 0.1% 1,354.50
Low 1,335.75 1,329.25 -6.50 -0.5% 1,326.50
Close 1,351.75 1,341.75 -10.00 -0.7% 1,341.75
Range 17.00 25.25 8.25 48.5% 28.00
ATR 18.00 18.52 0.52 2.9% 0.00
Volume 1,678,156 2,252,331 574,175 34.2% 7,701,777
Daily Pivots for day following 08-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,417.50 1,405.00 1,355.75
R3 1,392.25 1,379.75 1,348.75
R2 1,367.00 1,367.00 1,346.50
R1 1,354.50 1,354.50 1,344.00 1,348.00
PP 1,341.75 1,341.75 1,341.75 1,338.75
S1 1,329.25 1,329.25 1,339.50 1,323.00
S2 1,316.50 1,316.50 1,337.00
S3 1,291.25 1,304.00 1,334.75
S4 1,266.00 1,278.75 1,327.75
Weekly Pivots for week ending 08-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,425.00 1,411.25 1,357.25
R3 1,397.00 1,383.25 1,349.50
R2 1,369.00 1,369.00 1,347.00
R1 1,355.25 1,355.25 1,344.25 1,362.00
PP 1,341.00 1,341.00 1,341.00 1,344.25
S1 1,327.25 1,327.25 1,339.25 1,334.00
S2 1,313.00 1,313.00 1,336.50
S3 1,285.00 1,299.25 1,334.00
S4 1,257.00 1,271.25 1,326.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,354.50 1,312.50 42.00 3.1% 18.00 1.3% 70% True False 1,931,278
10 1,354.50 1,257.00 97.50 7.3% 19.00 1.4% 87% True False 1,961,459
20 1,354.50 1,252.25 102.25 7.6% 19.50 1.4% 88% True False 2,273,999
40 1,354.50 1,252.25 102.25 7.6% 18.00 1.3% 88% True False 1,174,865
60 1,367.50 1,252.25 115.25 8.6% 17.25 1.3% 78% False False 783,858
80 1,367.50 1,237.25 130.25 9.7% 16.75 1.2% 80% False False 588,158
100 1,367.50 1,237.25 130.25 9.7% 17.25 1.3% 80% False False 470,541
120 1,367.50 1,237.25 130.25 9.7% 16.50 1.2% 80% False False 392,119
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 3.93
Widest range in 16 trading days
Fibonacci Retracements and Extensions
4.250 1,461.75
2.618 1,420.50
1.618 1,395.25
1.000 1,379.75
0.618 1,370.00
HIGH 1,354.50
0.618 1,344.75
0.500 1,342.00
0.382 1,339.00
LOW 1,329.25
0.618 1,313.75
1.000 1,304.00
1.618 1,288.50
2.618 1,263.25
4.250 1,222.00
Fisher Pivots for day following 08-Jul-2011
Pivot 1 day 3 day
R1 1,342.00 1,341.25
PP 1,341.75 1,341.00
S1 1,341.75 1,340.50

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

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