E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 26-Jul-2011
Day Change Summary
Previous Current
25-Jul-2011 26-Jul-2011 Change Change % Previous Week
Open 1,326.00 1,328.00 2.00 0.2% 1,307.25
High 1,334.25 1,334.00 -0.25 0.0% 1,342.00
Low 1,316.50 1,320.00 3.50 0.3% 1,285.75
Close 1,328.00 1,320.50 -7.50 -0.6% 1,335.50
Range 17.75 14.00 -3.75 -21.1% 56.25
ATR 19.30 18.92 -0.38 -2.0% 0.00
Volume 3,344 3,398 54 1.6% 8,442
Daily Pivots for day following 26-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,366.75 1,357.75 1,328.25
R3 1,352.75 1,343.75 1,324.25
R2 1,338.75 1,338.75 1,323.00
R1 1,329.75 1,329.75 1,321.75 1,327.25
PP 1,324.75 1,324.75 1,324.75 1,323.50
S1 1,315.75 1,315.75 1,319.25 1,313.25
S2 1,310.75 1,310.75 1,318.00
S3 1,296.75 1,301.75 1,316.75
S4 1,282.75 1,287.75 1,312.75
Weekly Pivots for week ending 22-Jul-2011
Classic Woodie Camarilla DeMark
R4 1,489.75 1,469.00 1,366.50
R3 1,433.50 1,412.75 1,351.00
R2 1,377.25 1,377.25 1,345.75
R1 1,356.50 1,356.50 1,340.75 1,367.00
PP 1,321.00 1,321.00 1,321.00 1,326.25
S1 1,300.25 1,300.25 1,330.25 1,310.50
S2 1,264.75 1,264.75 1,325.25
S3 1,208.50 1,244.00 1,320.00
S4 1,152.25 1,187.75 1,304.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,342.00 1,309.75 32.25 2.4% 17.00 1.3% 33% False False 2,499
10 1,342.00 1,285.75 56.25 4.3% 18.50 1.4% 62% False False 2,114
20 1,348.75 1,266.50 82.25 6.2% 19.00 1.4% 66% False False 1,572
40 1,348.75 1,247.50 101.25 7.7% 18.25 1.4% 72% False False 1,100
60 1,361.00 1,247.50 113.50 8.6% 17.50 1.3% 64% False False 783
80 1,361.00 1,247.50 113.50 8.6% 16.00 1.2% 64% False False 644
100 1,361.00 1,232.00 129.00 9.8% 15.25 1.2% 69% False False 537
120 1,361.00 1,232.00 129.00 9.8% 12.75 1.0% 69% False False 449
Crabel Price Patterns
NR True
NR4 True
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR True
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.95
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,393.50
2.618 1,370.75
1.618 1,356.75
1.000 1,348.00
0.618 1,342.75
HIGH 1,334.00
0.618 1,328.75
0.500 1,327.00
0.382 1,325.25
LOW 1,320.00
0.618 1,311.25
1.000 1,306.00
1.618 1,297.25
2.618 1,283.25
4.250 1,260.50
Fisher Pivots for day following 26-Jul-2011
Pivot 1 day 3 day
R1 1,327.00 1,329.25
PP 1,324.75 1,326.25
S1 1,322.75 1,323.50

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

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