E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 20-Sep-2011
Day Change Summary
Previous Current
19-Sep-2011 20-Sep-2011 Change Change % Previous Week
Open 1,199.25 1,196.75 -2.50 -0.2% 1,136.00
High 1,203.75 1,214.50 10.75 0.9% 1,214.00
Low 1,181.50 1,185.25 3.75 0.3% 1,123.50
Close 1,197.75 1,196.00 -1.75 -0.1% 1,211.75
Range 22.25 29.25 7.00 31.5% 90.50
ATR 34.48 34.11 -0.37 -1.1% 0.00
Volume 2,446,620 2,595,393 148,773 6.1% 16,521,446
Daily Pivots for day following 20-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,286.25 1,270.50 1,212.00
R3 1,257.00 1,241.25 1,204.00
R2 1,227.75 1,227.75 1,201.25
R1 1,212.00 1,212.00 1,198.75 1,205.25
PP 1,198.50 1,198.50 1,198.50 1,195.25
S1 1,182.75 1,182.75 1,193.25 1,176.00
S2 1,169.25 1,169.25 1,190.75
S3 1,140.00 1,153.50 1,188.00
S4 1,110.75 1,124.25 1,180.00
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 1,214.50 1,148.00 66.50 5.6% 29.75 2.5% 72% True False 2,852,223
10 1,214.50 1,123.50 91.00 7.6% 32.00 2.7% 80% True False 2,630,095
20 1,223.75 1,113.00 110.75 9.3% 32.75 2.7% 75% False False 1,326,457
40 1,334.00 1,071.50 262.50 21.9% 38.50 3.2% 47% False False 666,213
60 1,348.75 1,071.50 277.25 23.2% 32.00 2.7% 45% False False 444,651
80 1,348.75 1,071.50 277.25 23.2% 28.25 2.4% 45% False False 333,614
100 1,361.00 1,071.50 289.50 24.2% 25.75 2.2% 43% False False 266,925
120 1,361.00 1,071.50 289.50 24.2% 23.25 1.9% 43% False False 222,472
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 True
4BNR True
8BNR False
Bear Hook False
Bull Hook False
Stretch 8.70
Widest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,338.75
2.618 1,291.00
1.618 1,261.75
1.000 1,243.75
0.618 1,232.50
HIGH 1,214.50
0.618 1,203.25
0.500 1,200.00
0.382 1,196.50
LOW 1,185.25
0.618 1,167.25
1.000 1,156.00
1.618 1,138.00
2.618 1,108.75
4.250 1,061.00
Fisher Pivots for day following 20-Sep-2011
Pivot 1 day 3 day
R1 1,200.00 1,198.00
PP 1,198.50 1,197.25
S1 1,197.25 1,196.75

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

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