E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 03-Aug-2011
Day Change Summary
Previous Current
02-Aug-2011 03-Aug-2011 Change Change % Previous Week
Open 1,279.75 1,248.25 -31.50 -2.5% 1,330.00
High 1,285.00 1,258.00 -27.00 -2.1% 1,340.25
Low 1,246.75 1,230.25 -16.50 -1.3% 1,278.75
Close 1,247.25 1,254.50 7.25 0.6% 1,288.50
Range 38.25 27.75 -10.50 -27.5% 61.50
ATR 22.74 23.09 0.36 1.6% 0.00
Volume 3,293,753 3,814,875 521,122 15.8% 11,095,327
Daily Pivots for day following 03-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,330.75 1,320.50 1,269.75
R3 1,303.00 1,292.75 1,262.25
R2 1,275.25 1,275.25 1,259.50
R1 1,265.00 1,265.00 1,257.00 1,270.00
PP 1,247.50 1,247.50 1,247.50 1,250.25
S1 1,237.25 1,237.25 1,252.00 1,242.50
S2 1,219.75 1,219.75 1,249.50
S3 1,192.00 1,209.50 1,246.75
S4 1,164.25 1,181.75 1,239.25
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 1,313.00 1,230.25 82.75 6.6% 29.00 2.3% 29% False True 3,070,519
10 1,347.75 1,230.25 117.50 9.4% 25.25 2.0% 21% False True 2,465,622
20 1,354.50 1,230.25 124.25 9.9% 23.25 1.9% 20% False True 2,346,641
40 1,354.50 1,230.25 124.25 9.9% 21.00 1.7% 20% False True 2,243,486
60 1,354.50 1,230.25 124.25 9.9% 19.75 1.6% 20% False True 1,500,000
80 1,367.50 1,230.25 137.25 10.9% 18.50 1.5% 18% False True 1,125,476
100 1,367.50 1,230.25 137.25 10.9% 18.25 1.5% 18% False True 900,551
120 1,367.50 1,230.25 137.25 10.9% 18.00 1.4% 18% False True 750,470
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 5.58
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,376.00
2.618 1,330.75
1.618 1,303.00
1.000 1,285.75
0.618 1,275.25
HIGH 1,258.00
0.618 1,247.50
0.500 1,244.00
0.382 1,240.75
LOW 1,230.25
0.618 1,213.00
1.000 1,202.50
1.618 1,185.25
2.618 1,157.50
4.250 1,112.25
Fisher Pivots for day following 03-Aug-2011
Pivot 1 day 3 day
R1 1,251.00 1,270.00
PP 1,247.50 1,264.75
S1 1,244.00 1,259.75

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

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