E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 15-Sep-2011
Day Change Summary
Previous Current
14-Sep-2011 15-Sep-2011 Change Change % Previous Week
Open 1,165.50 1,182.25 16.75 1.4% 1,161.00
High 1,196.25 1,205.50 9.25 0.8% 1,198.00
Low 1,148.00 1,175.75 27.75 2.4% 1,130.50
Close 1,182.25 1,204.25 22.00 1.9% 1,152.25
Range 48.25 29.75 -18.50 -38.3% 67.50
ATR 36.48 36.00 -0.48 -1.3% 0.00
Volume 3,543,308 3,016,144 -527,164 -14.9% 4,799,853
Daily Pivots for day following 15-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,284.50 1,274.00 1,220.50
R3 1,254.75 1,244.25 1,212.50
R2 1,225.00 1,225.00 1,209.75
R1 1,214.50 1,214.50 1,207.00 1,219.75
PP 1,195.25 1,195.25 1,195.25 1,197.75
S1 1,184.75 1,184.75 1,201.50 1,190.00
S2 1,165.50 1,165.50 1,198.75
S3 1,135.75 1,155.00 1,196.00
S4 1,106.00 1,125.25 1,188.00
Weekly Pivots for week ending 09-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,362.75 1,325.00 1,189.50
R3 1,295.25 1,257.50 1,170.75
R2 1,227.75 1,227.75 1,164.50
R1 1,190.00 1,190.00 1,158.50 1,175.00
PP 1,160.25 1,160.25 1,160.25 1,152.75
S1 1,122.50 1,122.50 1,146.00 1,107.50
S2 1,092.75 1,092.75 1,140.00
S3 1,025.25 1,055.00 1,133.75
S4 957.75 987.50 1,115.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,205.50 1,123.50 82.00 6.8% 38.25 3.2% 98% True False 3,405,394
10 1,222.00 1,123.50 98.50 8.2% 34.00 2.8% 82% False False 1,872,397
20 1,223.75 1,105.75 118.00 9.8% 36.00 3.0% 83% False False 942,383
40 1,342.00 1,071.50 270.50 22.5% 38.00 3.2% 49% False False 473,845
60 1,348.75 1,071.50 277.25 23.0% 31.75 2.6% 48% False False 316,342
80 1,348.75 1,071.50 277.25 23.0% 28.00 2.3% 48% False False 237,345
100 1,361.00 1,071.50 289.50 24.0% 25.25 2.1% 46% False False 189,910
120 1,361.00 1,071.50 289.50 24.0% 23.00 1.9% 46% False False 158,294
Crabel Price Patterns
NR True
NR4 True
NR5 True
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 7.60
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,332.00
2.618 1,283.50
1.618 1,253.75
1.000 1,235.25
0.618 1,224.00
HIGH 1,205.50
0.618 1,194.25
0.500 1,190.50
0.382 1,187.00
LOW 1,175.75
0.618 1,157.25
1.000 1,146.00
1.618 1,127.50
2.618 1,097.75
4.250 1,049.25
Fisher Pivots for day following 15-Sep-2011
Pivot 1 day 3 day
R1 1,199.75 1,193.50
PP 1,195.25 1,183.00
S1 1,190.50 1,172.25

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

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