E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 04-Aug-2011
Day Change Summary
Previous Current
03-Aug-2011 04-Aug-2011 Change Change % Previous Week
Open 1,248.25 1,254.25 6.00 0.5% 1,330.00
High 1,258.00 1,264.25 6.25 0.5% 1,340.25
Low 1,230.25 1,193.25 -37.00 -3.0% 1,278.75
Close 1,254.50 1,198.75 -55.75 -4.4% 1,288.50
Range 27.75 71.00 43.25 155.9% 61.50
ATR 23.09 26.52 3.42 14.8% 0.00
Volume 3,814,875 5,031,371 1,216,496 31.9% 11,095,327
Daily Pivots for day following 04-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,431.75 1,386.25 1,237.75
R3 1,360.75 1,315.25 1,218.25
R2 1,289.75 1,289.75 1,211.75
R1 1,244.25 1,244.25 1,205.25 1,231.50
PP 1,218.75 1,218.75 1,218.75 1,212.50
S1 1,173.25 1,173.25 1,192.25 1,160.50
S2 1,147.75 1,147.75 1,185.75
S3 1,076.75 1,102.25 1,179.25
S4 1,005.75 1,031.25 1,159.75
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 1,309.75 1,193.25 116.50 9.7% 39.75 3.3% 5% False True 3,609,255
10 1,347.75 1,193.25 154.50 12.9% 29.50 2.5% 4% False True 2,737,632
20 1,354.50 1,193.25 161.25 13.5% 26.00 2.2% 3% False True 2,514,302
40 1,354.50 1,193.25 161.25 13.5% 22.50 1.9% 3% False True 2,362,303
60 1,354.50 1,193.25 161.25 13.5% 20.50 1.7% 3% False True 1,583,819
80 1,367.50 1,193.25 174.25 14.5% 19.25 1.6% 3% False True 1,188,327
100 1,367.50 1,193.25 174.25 14.5% 18.75 1.6% 3% False True 950,864
120 1,367.50 1,193.25 174.25 14.5% 18.50 1.5% 3% False True 792,398
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.90
Widest range in 198 trading days
Fibonacci Retracements and Extensions
4.250 1,566.00
2.618 1,450.25
1.618 1,379.25
1.000 1,335.25
0.618 1,308.25
HIGH 1,264.25
0.618 1,237.25
0.500 1,228.75
0.382 1,220.25
LOW 1,193.25
0.618 1,149.25
1.000 1,122.25
1.618 1,078.25
2.618 1,007.25
4.250 891.50
Fisher Pivots for day following 04-Aug-2011
Pivot 1 day 3 day
R1 1,228.75 1,239.00
PP 1,218.75 1,225.75
S1 1,208.75 1,212.25

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

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