E-mini S&P 500 Future September 2011

Trading Metrics calculated at close of trading on 19-Jul-2011

Day Change Summary
	Previous	Current
	18-Jul-2011	19-Jul-2011	Change	Change %	Previous Week
Open	1,314.50	1,301.50	-13.00	-1.0%	1,339.25
High	1,314.75	1,324.25	9.50	0.7%	1,339.50
Low	1,291.25	1,300.25	9.00	0.7%	1,295.25
Close	1,300.50	1,321.25	20.75	1.6%	1,315.00
Range	23.50	24.00	0.50	2.1%	44.25
ATR	20.01	20.30	0.28	1.4%	0.00
Volume	1,805,046	2,098,625	293,579	16.3%	12,805,123

Daily Pivots for day following 19-Jul-2011
	Classic	Woodie	Camarilla	DeMark
R4	1,387.25	1,378.25	1,334.50
R3	1,363.25	1,354.25	1,327.75
R2	1,339.25	1,339.25	1,325.75
R1	1,330.25	1,330.25	1,323.50	1,334.75
PP	1,315.25	1,315.25	1,315.25	1,317.50
S1	1,306.25	1,306.25	1,319.00	1,310.75
S2	1,291.25	1,291.25	1,316.75
S3	1,267.25	1,282.25	1,314.75
S4	1,243.25	1,258.25	1,308.00

Weekly Pivots for week ending 15-Jul-2011
	Classic	Woodie	Camarilla	DeMark
R4	1,449.25	1,426.50	1,339.25
R3	1,405.00	1,382.25	1,327.25
R2	1,360.75	1,360.75	1,323.00
R1	1,338.00	1,338.00	1,319.00	1,327.25
PP	1,316.50	1,316.50	1,316.50	1,311.25
S1	1,293.75	1,293.75	1,311.00	1,283.00
S2	1,272.25	1,272.25	1,307.00
S3	1,228.00	1,249.50	1,302.75
S4	1,183.75	1,205.25	1,290.75

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,327.75	1,291.25	36.50	2.8%	20.75	1.6%	82%	False	False	2,278,611
10	1,354.50	1,291.25	63.25	4.8%	21.75	1.6%	47%	False	False	2,245,544
20	1,354.50	1,257.00	97.50	7.4%	20.50	1.5%	66%	False	False	2,179,136
40	1,354.50	1,252.25	102.25	7.7%	19.00	1.4%	67%	False	False	1,592,011
60	1,367.50	1,252.25	115.25	8.7%	18.00	1.4%	60%	False	False	1,062,116
80	1,367.50	1,252.25	115.25	8.7%	16.75	1.3%	60%	False	False	796,962
100	1,367.50	1,237.25	130.25	9.9%	18.00	1.4%	64%	False	False	637,628
120	1,367.50	1,237.25	130.25	9.9%	17.00	1.3%	64%	False	False	531,358

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	3.60
Widest range in 5 trading days

Fibonacci Retracements and Extensions
4.250	1,426.25
2.618	1,387.00
1.618	1,363.00
1.000	1,348.25
0.618	1,339.00
HIGH	1,324.25
0.618	1,315.00
0.500	1,312.25
0.382	1,309.50
LOW	1,300.25
0.618	1,285.50
1.000	1,276.25
1.618	1,261.50
2.618	1,237.50
4.250	1,198.25

Fisher Pivots for day following 19-Jul-2011
Pivot	1 day	3 day
R1	1,318.25	1,316.75
PP	1,315.25	1,312.25
S1	1,312.25	1,307.75

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

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