E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 16-Sep-2011
Day Change Summary
Previous Current
15-Sep-2011 16-Sep-2011 Change Change % Previous Week
Open 1,182.25 1,203.00 20.75 1.8% 1,136.00
High 1,205.50 1,214.00 8.50 0.7% 1,214.00
Low 1,175.75 1,194.75 19.00 1.6% 1,123.50
Close 1,204.25 1,211.75 7.50 0.6% 1,211.75
Range 29.75 19.25 -10.50 -35.3% 90.50
ATR 36.00 34.81 -1.20 -3.3% 0.00
Volume 3,016,144 2,659,652 -356,492 -11.8% 16,521,446
Daily Pivots for day following 16-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,264.50 1,257.50 1,222.25
R3 1,245.25 1,238.25 1,217.00
R2 1,226.00 1,226.00 1,215.25
R1 1,219.00 1,219.00 1,213.50 1,222.50
PP 1,206.75 1,206.75 1,206.75 1,208.50
S1 1,199.75 1,199.75 1,210.00 1,203.25
S2 1,187.50 1,187.50 1,208.25
S3 1,168.25 1,180.50 1,206.50
S4 1,149.00 1,161.25 1,201.25
Weekly Pivots for week ending 16-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,454.50 1,423.75 1,261.50
R3 1,364.00 1,333.25 1,236.75
R2 1,273.50 1,273.50 1,228.25
R1 1,242.75 1,242.75 1,220.00 1,258.00
PP 1,183.00 1,183.00 1,183.00 1,190.75
S1 1,152.25 1,152.25 1,203.50 1,167.50
S2 1,092.50 1,092.50 1,195.25
S3 1,002.00 1,061.75 1,186.75
S4 911.50 971.25 1,162.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,214.00 1,123.50 90.50 7.5% 32.75 2.7% 98% True False 3,304,289
10 1,214.00 1,123.50 90.50 7.5% 33.25 2.8% 98% True False 2,135,497
20 1,223.75 1,105.75 118.00 9.7% 33.75 2.8% 90% False False 1,075,293
40 1,342.00 1,071.50 270.50 22.3% 38.00 3.1% 52% False False 540,328
60 1,348.75 1,071.50 277.25 22.9% 32.00 2.6% 51% False False 360,665
80 1,348.75 1,071.50 277.25 22.9% 28.00 2.3% 51% False False 270,590
100 1,361.00 1,071.50 289.50 23.9% 25.25 2.1% 48% False False 216,505
120 1,361.00 1,071.50 289.50 23.9% 23.00 1.9% 48% False False 180,457
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 7.43
Narrowest range in 35 trading days
Fibonacci Retracements and Extensions
4.250 1,295.75
2.618 1,264.50
1.618 1,245.25
1.000 1,233.25
0.618 1,226.00
HIGH 1,214.00
0.618 1,206.75
0.500 1,204.50
0.382 1,202.00
LOW 1,194.75
0.618 1,182.75
1.000 1,175.50
1.618 1,163.50
2.618 1,144.25
4.250 1,113.00
Fisher Pivots for day following 16-Sep-2011
Pivot 1 day 3 day
R1 1,209.25 1,201.50
PP 1,206.75 1,191.25
S1 1,204.50 1,181.00

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

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