E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 28-Sep-2011
Day Change Summary
Previous Current
27-Sep-2011 28-Sep-2011 Change Change % Previous Week
Open 1,157.50 1,169.00 11.50 1.0% 1,199.25
High 1,190.00 1,181.75 -8.25 -0.7% 1,214.50
Low 1,155.00 1,143.50 -11.50 -1.0% 1,102.00
Close 1,169.50 1,148.75 -20.75 -1.8% 1,129.75
Range 35.00 38.25 3.25 9.3% 112.50
ATR 36.79 36.89 0.10 0.3% 0.00
Volume 3,246,492 2,798,516 -447,976 -13.8% 16,377,344
Daily Pivots for day following 28-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,272.75 1,249.00 1,169.75
R3 1,234.50 1,210.75 1,159.25
R2 1,196.25 1,196.25 1,155.75
R1 1,172.50 1,172.50 1,152.25 1,165.25
PP 1,158.00 1,158.00 1,158.00 1,154.50
S1 1,134.25 1,134.25 1,145.25 1,127.00
S2 1,119.75 1,119.75 1,141.75
S3 1,081.50 1,096.00 1,138.25
S4 1,043.25 1,057.75 1,127.75
Weekly Pivots for week ending 23-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,486.25 1,420.50 1,191.50
R3 1,373.75 1,308.00 1,160.75
R2 1,261.25 1,261.25 1,150.50
R1 1,195.50 1,195.50 1,140.00 1,172.00
PP 1,148.75 1,148.75 1,148.75 1,137.00
S1 1,083.00 1,083.00 1,119.50 1,059.50
S2 1,036.25 1,036.25 1,109.00
S3 923.75 970.50 1,098.75
S4 811.25 858.00 1,068.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,190.00 1,102.00 88.00 7.7% 41.25 3.6% 53% False False 3,442,121
10 1,214.50 1,102.00 112.50 9.8% 35.50 3.1% 42% False False 3,118,318
20 1,223.75 1,102.00 121.75 10.6% 34.75 3.0% 38% False False 2,345,133
40 1,258.25 1,071.50 186.75 16.3% 40.75 3.5% 41% False False 1,177,515
60 1,348.75 1,071.50 277.25 24.1% 34.50 3.0% 28% False False 785,620
80 1,348.75 1,071.50 277.25 24.1% 30.25 2.6% 28% False False 589,428
100 1,348.75 1,071.50 277.25 24.1% 27.50 2.4% 28% False False 471,564
120 1,361.00 1,071.50 289.50 25.2% 25.00 2.2% 27% False False 393,016
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 7.80
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,344.25
2.618 1,282.00
1.618 1,243.75
1.000 1,220.00
0.618 1,205.50
HIGH 1,181.75
0.618 1,167.25
0.500 1,162.50
0.382 1,158.00
LOW 1,143.50
0.618 1,119.75
1.000 1,105.25
1.618 1,081.50
2.618 1,043.25
4.250 981.00
Fisher Pivots for day following 28-Sep-2011
Pivot 1 day 3 day
R1 1,162.50 1,152.50
PP 1,158.00 1,151.25
S1 1,153.50 1,150.00

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

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