E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 15-Aug-2011
Day Change Summary
Previous Current
12-Aug-2011 15-Aug-2011 Change Change % Previous Week
Open 1,170.50 1,171.50 1.00 0.1% 1,163.50
High 1,180.50 1,195.75 15.25 1.3% 1,183.00
Low 1,141.25 1,171.00 29.75 2.6% 1,071.50
Close 1,171.00 1,192.75 21.75 1.9% 1,171.00
Range 39.25 24.75 -14.50 -36.9% 111.50
ATR 41.79 40.57 -1.22 -2.9% 0.00
Volume 7,549 6,887 -662 -8.8% 55,632
Daily Pivots for day following 15-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,260.75 1,251.50 1,206.25
R3 1,236.00 1,226.75 1,199.50
R2 1,211.25 1,211.25 1,197.25
R1 1,202.00 1,202.00 1,195.00 1,206.50
PP 1,186.50 1,186.50 1,186.50 1,188.75
S1 1,177.25 1,177.25 1,190.50 1,182.00
S2 1,161.75 1,161.75 1,188.25
S3 1,137.00 1,152.50 1,186.00
S4 1,112.25 1,127.75 1,179.25
Weekly Pivots for week ending 12-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,476.25 1,435.25 1,232.25
R3 1,364.75 1,323.75 1,201.75
R2 1,253.25 1,253.25 1,191.50
R1 1,212.25 1,212.25 1,181.25 1,232.75
PP 1,141.75 1,141.75 1,141.75 1,152.00
S1 1,100.75 1,100.75 1,160.75 1,121.25
S2 1,030.25 1,030.25 1,150.50
S3 918.75 989.25 1,140.25
S4 807.25 877.75 1,109.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,195.75 1,071.50 124.25 10.4% 61.50 5.1% 98% True False 10,167
10 1,279.00 1,071.50 207.50 17.4% 57.75 4.8% 58% False False 8,302
20 1,342.00 1,071.50 270.50 22.7% 39.50 3.3% 45% False False 5,277
40 1,348.75 1,071.50 277.25 23.2% 29.50 2.5% 44% False False 3,236
60 1,348.75 1,071.50 277.25 23.2% 25.00 2.1% 44% False False 2,264
80 1,361.00 1,071.50 289.50 24.3% 22.25 1.9% 42% False False 1,748
100 1,361.00 1,071.50 289.50 24.3% 20.25 1.7% 42% False False 1,435
120 1,361.00 1,071.50 289.50 24.3% 18.50 1.5% 42% False False 1,213
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 13.75
Narrowest range in 11 trading days
Fibonacci Retracements and Extensions
4.250 1,301.00
2.618 1,260.50
1.618 1,235.75
1.000 1,220.50
0.618 1,211.00
HIGH 1,195.75
0.618 1,186.25
0.500 1,183.50
0.382 1,180.50
LOW 1,171.00
0.618 1,155.75
1.000 1,146.25
1.618 1,131.00
2.618 1,106.25
4.250 1,065.75
Fisher Pivots for day following 15-Aug-2011
Pivot 1 day 3 day
R1 1,189.50 1,177.50
PP 1,186.50 1,162.00
S1 1,183.50 1,146.50

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

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