E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 12-Aug-2011
Day Change Summary
Previous Current
11-Aug-2011 12-Aug-2011 Change Change % Previous Week
Open 1,123.00 1,168.25 45.25 4.0% 1,167.25
High 1,184.00 1,186.75 2.75 0.2% 1,189.00
Low 1,103.00 1,146.75 43.75 4.0% 1,077.00
Close 1,168.50 1,176.75 8.25 0.7% 1,176.75
Range 81.00 40.00 -41.00 -50.6% 112.00
ATR 42.48 42.30 -0.18 -0.4% 0.00
Volume 4,467,662 2,715,118 -1,752,544 -39.2% 24,524,566
Daily Pivots for day following 12-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,290.00 1,273.50 1,198.75
R3 1,250.00 1,233.50 1,187.75
R2 1,210.00 1,210.00 1,184.00
R1 1,193.50 1,193.50 1,180.50 1,201.75
PP 1,170.00 1,170.00 1,170.00 1,174.25
S1 1,153.50 1,153.50 1,173.00 1,161.75
S2 1,130.00 1,130.00 1,169.50
S3 1,090.00 1,113.50 1,165.75
S4 1,050.00 1,073.50 1,154.75
Weekly Pivots for week ending 12-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,483.50 1,442.25 1,238.25
R3 1,371.50 1,330.25 1,207.50
R2 1,259.50 1,259.50 1,197.25
R1 1,218.25 1,218.25 1,187.00 1,239.00
PP 1,147.50 1,147.50 1,147.50 1,158.00
S1 1,106.25 1,106.25 1,166.50 1,127.00
S2 1,035.50 1,035.50 1,156.25
S3 923.50 994.25 1,146.00
S4 811.50 882.25 1,115.25
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,189.00 1,077.00 112.00 9.5% 72.75 6.2% 89% False False 4,904,913
10 1,309.75 1,077.00 232.75 19.8% 59.50 5.1% 43% False False 4,477,029
20 1,347.75 1,077.00 270.75 23.0% 40.00 3.4% 37% False False 3,241,938
40 1,354.50 1,077.00 277.50 23.6% 30.00 2.5% 36% False False 2,713,192
60 1,354.50 1,077.00 277.50 23.6% 25.75 2.2% 36% False False 2,077,028
80 1,367.50 1,077.00 290.50 24.7% 23.25 2.0% 34% False False 1,558,299
100 1,367.50 1,077.00 290.50 24.7% 21.25 1.8% 34% False False 1,246,934
120 1,367.50 1,077.00 290.50 24.7% 21.50 1.8% 34% False False 1,039,149
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 15.23
Narrowest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1,356.75
2.618 1,291.50
1.618 1,251.50
1.000 1,226.75
0.618 1,211.50
HIGH 1,186.75
0.618 1,171.50
0.500 1,166.75
0.382 1,162.00
LOW 1,146.75
0.618 1,122.00
1.000 1,106.75
1.618 1,082.00
2.618 1,042.00
4.250 976.75
Fisher Pivots for day following 12-Aug-2011
Pivot 1 day 3 day
R1 1,173.50 1,166.00
PP 1,170.00 1,155.50
S1 1,166.75 1,145.00

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

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