E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 27-Jul-2011
Day Change Summary
Previous Current
26-Jul-2011 27-Jul-2011 Change Change % Previous Week
Open 1,333.50 1,326.00 -7.50 -0.6% 1,314.50
High 1,339.75 1,328.50 -11.25 -0.8% 1,347.75
Low 1,325.50 1,298.00 -27.50 -2.1% 1,291.25
Close 1,326.25 1,299.00 -27.25 -2.1% 1,341.00
Range 14.25 30.50 16.25 114.0% 56.50
ATR 19.40 20.19 0.79 4.1% 0.00
Volume 1,697,586 2,535,676 838,090 49.4% 8,973,146
Daily Pivots for day following 27-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,400.00 1,380.00 1,315.75
R3 1,369.50 1,349.50 1,307.50
R2 1,339.00 1,339.00 1,304.50
R1 1,319.00 1,319.00 1,301.75 1,313.75
PP 1,308.50 1,308.50 1,308.50 1,306.00
S1 1,288.50 1,288.50 1,296.25 1,283.25
S2 1,278.00 1,278.00 1,293.50
S3 1,247.50 1,258.00 1,290.50
S4 1,217.00 1,227.50 1,282.25
Weekly Pivots for week ending 22-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,496.25 1,475.00 1,372.00
R3 1,439.75 1,418.50 1,356.50
R2 1,383.25 1,383.25 1,351.25
R1 1,362.00 1,362.00 1,346.25 1,372.50
PP 1,326.75 1,326.75 1,326.75 1,332.00
S1 1,305.50 1,305.50 1,335.75 1,316.00
S2 1,270.25 1,270.25 1,330.75
S3 1,213.75 1,249.00 1,325.50
S4 1,157.25 1,192.50 1,310.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,347.75 1,298.00 49.75 3.8% 21.25 1.6% 2% False True 1,860,725
10 1,347.75 1,291.25 56.50 4.3% 20.00 1.5% 14% False False 2,001,891
20 1,354.50 1,291.25 63.25 4.9% 19.75 1.5% 12% False False 2,083,069
40 1,354.50 1,252.25 102.25 7.9% 19.75 1.5% 46% False False 1,865,009
60 1,354.50 1,252.25 102.25 7.9% 18.75 1.4% 46% False False 1,244,308
80 1,367.50 1,252.25 115.25 8.9% 17.50 1.3% 41% False False 933,628
100 1,367.50 1,237.25 130.25 10.0% 17.75 1.4% 47% False False 747,028
120 1,367.50 1,237.25 130.25 10.0% 17.25 1.3% 47% False False 622,532
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.10
Widest range in 39 trading days
Fibonacci Retracements and Extensions
4.250 1,458.00
2.618 1,408.25
1.618 1,377.75
1.000 1,359.00
0.618 1,347.25
HIGH 1,328.50
0.618 1,316.75
0.500 1,313.25
0.382 1,309.75
LOW 1,298.00
0.618 1,279.25
1.000 1,267.50
1.618 1,248.75
2.618 1,218.25
4.250 1,168.50
Fisher Pivots for day following 27-Jul-2011
Pivot 1 day 3 day
R1 1,313.25 1,319.00
PP 1,308.50 1,312.50
S1 1,303.75 1,305.75

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

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