E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 12-Jul-2011
Day Change Summary
Previous Current
11-Jul-2011 12-Jul-2011 Change Change % Previous Week
Open 1,332.00 1,311.50 -20.50 -1.5% 1,328.50
High 1,332.00 1,317.50 -14.50 -1.1% 1,348.75
Low 1,306.50 1,290.25 -16.25 -1.2% 1,321.50
Close 1,313.25 1,305.25 -8.00 -0.6% 1,336.50
Range 25.50 27.25 1.75 6.9% 27.25
ATR 18.75 19.35 0.61 3.2% 0.00
Volume 894 2,088 1,194 133.6% 3,429
Daily Pivots for day following 12-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,386.00 1,373.00 1,320.25
R3 1,358.75 1,345.75 1,312.75
R2 1,331.50 1,331.50 1,310.25
R1 1,318.50 1,318.50 1,307.75 1,311.50
PP 1,304.25 1,304.25 1,304.25 1,300.75
S1 1,291.25 1,291.25 1,302.75 1,284.00
S2 1,277.00 1,277.00 1,300.25
S3 1,249.75 1,264.00 1,297.75
S4 1,222.50 1,236.75 1,290.25
Weekly Pivots for week ending 08-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,417.25 1,404.25 1,351.50
R3 1,390.00 1,377.00 1,344.00
R2 1,362.75 1,362.75 1,341.50
R1 1,349.75 1,349.75 1,339.00 1,356.25
PP 1,335.50 1,335.50 1,335.50 1,339.00
S1 1,322.50 1,322.50 1,334.00 1,329.00
S2 1,308.25 1,308.25 1,331.50
S3 1,281.00 1,295.25 1,329.00
S4 1,253.75 1,268.00 1,321.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,348.75 1,290.25 58.50 4.5% 21.25 1.6% 26% False True 1,116
10 1,348.75 1,266.50 82.25 6.3% 19.25 1.5% 47% False False 1,031
20 1,348.75 1,247.50 101.25 7.8% 19.75 1.5% 57% False False 1,094
40 1,348.75 1,247.50 101.25 7.8% 17.25 1.3% 57% False False 608
60 1,361.00 1,247.50 113.50 8.7% 16.25 1.2% 51% False False 479
80 1,361.00 1,247.50 113.50 8.7% 15.25 1.2% 51% False False 391
100 1,361.00 1,232.00 129.00 9.9% 13.50 1.0% 57% False False 327
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 2.80
Widest range in 18 trading days
Fibonacci Retracements and Extensions
4.250 1,433.25
2.618 1,388.75
1.618 1,361.50
1.000 1,344.75
0.618 1,334.25
HIGH 1,317.50
0.618 1,307.00
0.500 1,304.00
0.382 1,300.75
LOW 1,290.25
0.618 1,273.50
1.000 1,263.00
1.618 1,246.25
2.618 1,219.00
4.250 1,174.50
Fisher Pivots for day following 12-Jul-2011
Pivot 1 day 3 day
R1 1,304.75 1,319.50
PP 1,304.25 1,314.75
S1 1,304.00 1,310.00

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

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