E-mini S&P 500 Future September 2011


Trading Metrics calculated at close of trading on 01-Sep-2011
Day Change Summary
Previous Current
31-Aug-2011 01-Sep-2011 Change Change % Previous Week
Open 1,204.25 1,218.00 13.75 1.1% 1,122.00
High 1,229.75 1,228.50 -1.25 -0.1% 1,188.50
Low 1,201.25 1,200.75 -0.50 0.0% 1,111.25
Close 1,217.75 1,201.25 -16.50 -1.4% 1,176.00
Range 28.50 27.75 -0.75 -2.6% 77.25
ATR 37.83 37.11 -0.72 -1.9% 0.00
Volume 3,150,698 2,656,315 -494,383 -15.7% 14,893,119
Daily Pivots for day following 01-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,293.50 1,275.00 1,216.50
R3 1,265.75 1,247.25 1,209.00
R2 1,238.00 1,238.00 1,206.25
R1 1,219.50 1,219.50 1,203.75 1,215.00
PP 1,210.25 1,210.25 1,210.25 1,207.75
S1 1,191.75 1,191.75 1,198.75 1,187.00
S2 1,182.50 1,182.50 1,196.25
S3 1,154.75 1,164.00 1,193.50
S4 1,127.00 1,136.25 1,186.00
Weekly Pivots for week ending 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,390.25 1,360.50 1,218.50
R3 1,313.00 1,283.25 1,197.25
R2 1,235.75 1,235.75 1,190.25
R1 1,206.00 1,206.00 1,183.00 1,221.00
PP 1,158.50 1,158.50 1,158.50 1,166.00
S1 1,128.75 1,128.75 1,169.00 1,143.50
S2 1,081.25 1,081.25 1,161.75
S3 1,004.00 1,051.50 1,154.75
S4 926.75 974.25 1,133.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,229.75 1,132.75 97.00 8.1% 33.00 2.7% 71% False False 2,653,797
10 1,229.75 1,111.25 118.50 9.9% 34.75 2.9% 76% False False 2,866,698
20 1,229.75 1,077.00 152.75 12.7% 45.25 3.8% 81% False False 3,435,577
40 1,354.50 1,077.00 277.50 23.1% 35.50 3.0% 45% False False 2,974,939
60 1,354.50 1,077.00 277.50 23.1% 30.00 2.5% 45% False False 2,720,061
80 1,354.50 1,077.00 277.50 23.1% 26.75 2.2% 45% False False 2,046,759
100 1,367.50 1,077.00 290.50 24.2% 24.50 2.0% 43% False False 1,637,777
120 1,367.50 1,077.00 290.50 24.2% 23.25 1.9% 43% False False 1,364,983
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 10.90
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,346.50
2.618 1,301.25
1.618 1,273.50
1.000 1,256.25
0.618 1,245.75
HIGH 1,228.50
0.618 1,218.00
0.500 1,214.50
0.382 1,211.25
LOW 1,200.75
0.618 1,183.50
1.000 1,173.00
1.618 1,155.75
2.618 1,128.00
4.250 1,082.75
Fisher Pivots for day following 01-Sep-2011
Pivot 1 day 3 day
R1 1,214.50 1,211.50
PP 1,210.25 1,208.25
S1 1,205.75 1,204.75

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

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