E-mini S&P 500 Future December 2011


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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 1,199.00 1,212.00 13.00 1.1% 1,116.00
High 1,223.75 1,222.00 -1.75 -0.1% 1,183.00
Low 1,195.75 1,195.25 -0.50 0.0% 1,105.75
Close 1,212.00 1,195.50 -16.50 -1.4% 1,170.25
Range 28.00 26.75 -1.25 -4.5% 77.25
ATR 37.31 36.56 -0.75 -2.0% 0.00
Volume 11,650 28,654 17,004 146.0% 61,252
Daily Pivots for day following 01-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,284.50 1,266.75 1,210.25
R3 1,257.75 1,240.00 1,202.75
R2 1,231.00 1,231.00 1,200.50
R1 1,213.25 1,213.25 1,198.00 1,208.75
PP 1,204.25 1,204.25 1,204.25 1,202.00
S1 1,186.50 1,186.50 1,193.00 1,182.00
S2 1,177.50 1,177.50 1,190.50
S3 1,150.75 1,159.75 1,188.25
S4 1,124.00 1,133.00 1,180.75
Weekly Pivots for week ending 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1,384.75 1,354.75 1,212.75
R3 1,307.50 1,277.50 1,191.50
R2 1,230.25 1,230.25 1,184.50
R1 1,200.25 1,200.25 1,177.25 1,215.25
PP 1,153.00 1,153.00 1,153.00 1,160.50
S1 1,123.00 1,123.00 1,163.25 1,138.00
S2 1,075.75 1,075.75 1,156.00
S3 998.50 1,045.75 1,149.00
S4 921.25 968.50 1,127.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,223.75 1,126.75 97.00 8.1% 32.25 2.7% 71% False False 19,233
10 1,223.75 1,105.75 118.00 9.9% 34.25 2.9% 76% False False 15,090
20 1,223.75 1,071.50 152.25 12.7% 44.75 3.7% 81% False False 11,594
40 1,348.75 1,071.50 277.25 23.2% 35.00 2.9% 45% False False 6,834
60 1,348.75 1,071.50 277.25 23.2% 29.50 2.5% 45% False False 4,861
80 1,348.75 1,071.50 277.25 23.2% 26.00 2.2% 45% False False 3,671
100 1,361.00 1,071.50 289.50 24.2% 23.25 1.9% 43% False False 2,986
120 1,361.00 1,071.50 289.50 24.2% 22.00 1.8% 43% False False 2,515
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 10.73
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,335.75
2.618 1,292.00
1.618 1,265.25
1.000 1,248.75
0.618 1,238.50
HIGH 1,222.00
0.618 1,211.75
0.500 1,208.50
0.382 1,205.50
LOW 1,195.25
0.618 1,178.75
1.000 1,168.50
1.618 1,152.00
2.618 1,125.25
4.250 1,081.50
Fisher Pivots for day following 01-Sep-2011
Pivot 1 day 3 day
R1 1,208.50 1,206.00
PP 1,204.25 1,202.50
S1 1,200.00 1,199.00

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

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