E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 19-Sep-2011
Day Change Summary
Previous Current
16-Sep-2011 19-Sep-2011 Change Change % Previous Week
Open 1,203.00 1,199.25 -3.75 -0.3% 1,136.00
High 1,214.00 1,203.75 -10.25 -0.8% 1,214.00
Low 1,194.75 1,181.50 -13.25 -1.1% 1,123.50
Close 1,211.75 1,197.75 -14.00 -1.2% 1,211.75
Range 19.25 22.25 3.00 15.6% 90.50
ATR 34.81 34.48 -0.33 -0.9% 0.00
Volume 2,659,652 2,446,620 -213,032 -8.0% 16,521,446
Daily Pivots for day following 19-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,261.00 1,251.75 1,210.00
R3 1,238.75 1,229.50 1,203.75
R2 1,216.50 1,216.50 1,201.75
R1 1,207.25 1,207.25 1,199.75 1,200.75
PP 1,194.25 1,194.25 1,194.25 1,191.00
S1 1,185.00 1,185.00 1,195.75 1,178.50
S2 1,172.00 1,172.00 1,193.75
S3 1,149.75 1,162.75 1,191.75
S4 1,127.50 1,140.50 1,185.50
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 1,139.00 75.00 6.3% 30.25 2.5% 78% False False 3,071,328
10 1,214.00 1,123.50 90.50 7.6% 32.00 2.7% 82% False False 2,376,791
20 1,223.75 1,105.75 118.00 9.9% 33.00 2.8% 78% False False 1,197,169
40 1,334.25 1,071.50 262.75 21.9% 38.00 3.2% 48% False False 601,411
60 1,348.75 1,071.50 277.25 23.1% 32.00 2.7% 46% False False 401,430
80 1,348.75 1,071.50 277.25 23.1% 28.00 2.3% 46% False False 301,172
100 1,361.00 1,071.50 289.50 24.2% 25.50 2.1% 44% False False 240,971
120 1,361.00 1,071.50 289.50 24.2% 23.25 1.9% 44% False False 200,846
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 7.55
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,298.25
2.618 1,262.00
1.618 1,239.75
1.000 1,226.00
0.618 1,217.50
HIGH 1,203.75
0.618 1,195.25
0.500 1,192.50
0.382 1,190.00
LOW 1,181.50
0.618 1,167.75
1.000 1,159.25
1.618 1,145.50
2.618 1,123.25
4.250 1,087.00
Fisher Pivots for day following 19-Sep-2011
Pivot 1 day 3 day
R1 1,196.00 1,196.75
PP 1,194.25 1,195.75
S1 1,192.50 1,195.00

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

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