E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 02-Aug-2011
Day Change Summary
Previous Current
01-Aug-2011 02-Aug-2011 Change Change % Previous Week
Open 1,306.00 1,279.75 -26.25 -2.0% 1,330.00
High 1,309.75 1,285.00 -24.75 -1.9% 1,340.25
Low 1,270.25 1,246.75 -23.50 -1.9% 1,278.75
Close 1,279.75 1,247.25 -32.50 -2.5% 1,288.50
Range 39.50 38.25 -1.25 -3.2% 61.50
ATR 21.54 22.74 1.19 5.5% 0.00
Volume 3,020,116 3,293,753 273,637 9.1% 11,095,327
Daily Pivots for day following 02-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,374.50 1,349.00 1,268.25
R3 1,336.25 1,310.75 1,257.75
R2 1,298.00 1,298.00 1,254.25
R1 1,272.50 1,272.50 1,250.75 1,266.00
PP 1,259.75 1,259.75 1,259.75 1,256.50
S1 1,234.25 1,234.25 1,243.75 1,228.00
S2 1,221.50 1,221.50 1,240.25
S3 1,183.25 1,196.00 1,236.75
S4 1,145.00 1,157.75 1,226.25
Weekly Pivots for week ending 29-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,487.00 1,449.25 1,322.25
R3 1,425.50 1,387.75 1,305.50
R2 1,364.00 1,364.00 1,299.75
R1 1,326.25 1,326.25 1,294.25 1,314.50
PP 1,302.50 1,302.50 1,302.50 1,296.50
S1 1,264.75 1,264.75 1,282.75 1,253.00
S2 1,241.00 1,241.00 1,277.25
S3 1,179.50 1,203.25 1,271.50
S4 1,118.00 1,141.75 1,254.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,328.50 1,246.75 81.75 6.6% 29.50 2.4% 1% False True 2,814,679
10 1,347.75 1,246.75 101.00 8.1% 23.50 1.9% 0% False True 2,247,867
20 1,354.50 1,246.75 107.75 8.6% 22.50 1.8% 0% False True 2,246,705
40 1,354.50 1,246.75 107.75 8.6% 20.50 1.7% 0% False True 2,150,423
60 1,354.50 1,246.75 107.75 8.6% 19.50 1.6% 0% False True 1,436,485
80 1,367.50 1,246.75 120.75 9.7% 18.50 1.5% 0% False True 1,077,804
100 1,367.50 1,237.25 130.25 10.4% 18.25 1.5% 8% False False 862,403
120 1,367.50 1,237.25 130.25 10.4% 18.00 1.4% 8% False False 718,680
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
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 4.80
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,447.50
2.618 1,385.25
1.618 1,347.00
1.000 1,323.25
0.618 1,308.75
HIGH 1,285.00
0.618 1,270.50
0.500 1,266.00
0.382 1,261.25
LOW 1,246.75
0.618 1,223.00
1.000 1,208.50
1.618 1,184.75
2.618 1,146.50
4.250 1,084.25
Fisher Pivots for day following 02-Aug-2011
Pivot 1 day 3 day
R1 1,266.00 1,278.25
PP 1,259.75 1,268.00
S1 1,253.50 1,257.50

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

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