E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 22-Sep-2011
Day Change Summary
Previous Current
21-Sep-2011 22-Sep-2011 Change Change % Previous Week
Open 1,196.75 1,155.25 -41.50 -3.5% 1,136.00
High 1,203.75 1,159.00 -44.75 -3.7% 1,214.00
Low 1,155.00 1,106.75 -48.25 -4.2% 1,123.50
Close 1,155.75 1,123.50 -32.25 -2.8% 1,211.75
Range 48.75 52.25 3.50 7.2% 90.50
ATR 35.15 36.37 1.22 3.5% 0.00
Volume 3,254,771 4,733,306 1,478,535 45.4% 16,521,446
Daily Pivots for day following 22-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,286.50 1,257.25 1,152.25
R3 1,234.25 1,205.00 1,137.75
R2 1,182.00 1,182.00 1,133.00
R1 1,152.75 1,152.75 1,128.25 1,141.25
PP 1,129.75 1,129.75 1,129.75 1,124.00
S1 1,100.50 1,100.50 1,118.75 1,089.00
S2 1,077.50 1,077.50 1,114.00
S3 1,025.25 1,048.25 1,109.25
S4 973.00 996.00 1,094.75
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 1,106.75 107.75 9.6% 34.25 3.1% 16% False True 3,137,948
10 1,214.50 1,106.75 107.75 9.6% 36.25 3.2% 16% False True 3,271,671
20 1,223.75 1,106.75 117.00 10.4% 34.25 3.0% 14% False True 1,724,928
40 1,307.00 1,071.50 235.50 21.0% 39.75 3.5% 22% False False 865,796
60 1,348.75 1,071.50 277.25 24.7% 33.00 2.9% 19% False False 577,724
80 1,348.75 1,071.50 277.25 24.7% 29.25 2.6% 19% False False 433,465
100 1,348.75 1,071.50 277.25 24.7% 26.50 2.4% 19% False False 346,800
120 1,361.00 1,071.50 289.50 25.8% 24.00 2.1% 18% False False 289,039
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 9.35
Widest range in 24 trading days
Fibonacci Retracements and Extensions
4.250 1,381.00
2.618 1,295.75
1.618 1,243.50
1.000 1,211.25
0.618 1,191.25
HIGH 1,159.00
0.618 1,139.00
0.500 1,133.00
0.382 1,126.75
LOW 1,106.75
0.618 1,074.50
1.000 1,054.50
1.618 1,022.25
2.618 970.00
4.250 884.75
Fisher Pivots for day following 22-Sep-2011
Pivot 1 day 3 day
R1 1,133.00 1,160.50
PP 1,129.75 1,148.25
S1 1,126.50 1,136.00

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

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