E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 14-Jul-2011
Day Change Summary
Previous Current
13-Jul-2011 14-Jul-2011 Change Change % Previous Week
Open 1,310.75 1,312.25 1.50 0.1% 1,334.50
High 1,327.75 1,323.25 -4.50 -0.3% 1,354.50
Low 1,307.25 1,302.00 -5.25 -0.4% 1,326.50
Close 1,312.25 1,306.75 -5.50 -0.4% 1,341.75
Range 20.50 21.25 0.75 3.7% 28.00
ATR 20.00 20.09 0.09 0.4% 0.00
Volume 2,315,093 2,877,782 562,689 24.3% 7,701,777
Daily Pivots for day following 14-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,374.50 1,361.75 1,318.50
R3 1,353.25 1,340.50 1,312.50
R2 1,332.00 1,332.00 1,310.75
R1 1,319.25 1,319.25 1,308.75 1,315.00
PP 1,310.75 1,310.75 1,310.75 1,308.50
S1 1,298.00 1,298.00 1,304.75 1,293.75
S2 1,289.50 1,289.50 1,302.75
S3 1,268.25 1,276.75 1,301.00
S4 1,247.00 1,255.50 1,295.00
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 1,295.25 59.25 4.5% 24.50 1.9% 19% False False 2,552,188
10 1,354.50 1,295.25 59.25 4.5% 20.25 1.6% 19% False False 2,203,189
20 1,354.50 1,252.25 102.25 7.8% 20.00 1.5% 53% False False 2,232,390
40 1,354.50 1,252.25 102.25 7.8% 18.50 1.4% 53% False False 1,437,253
60 1,367.50 1,252.25 115.25 8.8% 17.75 1.4% 47% False False 958,862
80 1,367.50 1,252.25 115.25 8.8% 16.50 1.3% 47% False False 719,491
100 1,367.50 1,237.25 130.25 10.0% 18.00 1.4% 53% False False 575,626
120 1,367.50 1,237.25 130.25 10.0% 17.00 1.3% 53% False False 479,690
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 3.45
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,413.50
2.618 1,379.00
1.618 1,357.75
1.000 1,344.50
0.618 1,336.50
HIGH 1,323.25
0.618 1,315.25
0.500 1,312.50
0.382 1,310.00
LOW 1,302.00
0.618 1,288.75
1.000 1,280.75
1.618 1,267.50
2.618 1,246.25
4.250 1,211.75
Fisher Pivots for day following 14-Jul-2011
Pivot 1 day 3 day
R1 1,312.50 1,311.50
PP 1,310.75 1,310.00
S1 1,308.75 1,308.25

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

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