E-mini S&P 500 Future September 2011

Trading Metrics calculated at close of trading on 20-Jul-2011

Day Change Summary
	Previous	Current
	19-Jul-2011	20-Jul-2011	Change	Change %	Previous Week
Open	1,301.50	1,321.25	19.75	1.5%	1,339.25
High	1,324.25	1,329.75	5.50	0.4%	1,339.50
Low	1,300.25	1,319.25	19.00	1.5%	1,295.25
Close	1,321.25	1,321.25	0.00	0.0%	1,315.00
Range	24.00	10.50	-13.50	-56.3%	44.25
ATR	20.30	19.60	-0.70	-3.4%	0.00
Volume	2,098,625	1,637,321	-461,304	-22.0%	12,805,123

Daily Pivots for day following 20-Jul-2011
	Classic	Woodie	Camarilla	DeMark
R4	1,355.00	1,348.50	1,327.00
R3	1,344.50	1,338.00	1,324.25
R2	1,334.00	1,334.00	1,323.25
R1	1,327.50	1,327.50	1,322.25	1,326.50
PP	1,323.50	1,323.50	1,323.50	1,323.00
S1	1,317.00	1,317.00	1,320.25	1,316.00
S2	1,313.00	1,313.00	1,319.25
S3	1,302.50	1,306.50	1,318.25
S4	1,292.00	1,296.00	1,315.50

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	1,329.75	1,291.25	38.50	2.9%	18.75	1.4%	78%	True	False	2,143,057
10	1,354.50	1,291.25	63.25	4.8%	21.25	1.6%	47%	False	False	2,227,660
20	1,354.50	1,257.00	97.50	7.4%	20.00	1.5%	66%	False	False	2,157,275
40	1,354.50	1,252.25	102.25	7.7%	19.00	1.4%	67%	False	False	1,632,890
60	1,367.50	1,252.25	115.25	8.7%	18.00	1.4%	60%	False	False	1,089,341
80	1,367.50	1,252.25	115.25	8.7%	16.75	1.3%	60%	False	False	817,417
100	1,367.50	1,237.25	130.25	9.9%	18.00	1.4%	64%	False	False	654,001
120	1,367.50	1,237.25	130.25	9.9%	17.25	1.3%	64%	False	False	545,003

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
WS	False
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	3.33
Narrowest range in 11 trading days

Fibonacci Retracements and Extensions
4.250	1,374.50
2.618	1,357.25
1.618	1,346.75
1.000	1,340.25
0.618	1,336.25
HIGH	1,329.75
0.618	1,325.75
0.500	1,324.50
0.382	1,323.25
LOW	1,319.25
0.618	1,312.75
1.000	1,308.75
1.618	1,302.25
2.618	1,291.75
4.250	1,274.50

Fisher Pivots for day following 20-Jul-2011
Pivot	1 day	3 day
R1	1,324.50	1,317.75
PP	1,323.50	1,314.00
S1	1,322.25	1,310.50

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

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