E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 03-Oct-2011
Day Change Summary
Previous Current
30-Sep-2011 03-Oct-2011 Change Change % Previous Week
Open 1,157.25 1,123.00 -34.25 -3.0% 1,122.00
High 1,159.75 1,133.50 -26.25 -2.3% 1,190.00
Low 1,121.50 1,085.25 -36.25 -3.2% 1,115.00
Close 1,126.00 1,086.25 -39.75 -3.5% 1,126.00
Range 38.25 48.25 10.00 26.1% 75.00
ATR 37.01 37.82 0.80 2.2% 0.00
Volume 2,978,324 3,496,634 518,310 17.4% 15,078,962
Daily Pivots for day following 03-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,246.50 1,214.50 1,112.75
R3 1,198.25 1,166.25 1,099.50
R2 1,150.00 1,150.00 1,095.00
R1 1,118.00 1,118.00 1,090.75 1,110.00
PP 1,101.75 1,101.75 1,101.75 1,097.50
S1 1,069.75 1,069.75 1,081.75 1,061.50
S2 1,053.50 1,053.50 1,077.50
S3 1,005.25 1,021.50 1,073.00
S4 957.00 973.25 1,059.75
Weekly Pivots for week ending 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 1,368.75 1,322.25 1,167.25
R3 1,293.75 1,247.25 1,146.50
R2 1,218.75 1,218.75 1,139.75
R1 1,172.25 1,172.25 1,133.00 1,195.50
PP 1,143.75 1,143.75 1,143.75 1,155.25
S1 1,097.25 1,097.25 1,119.00 1,120.50
S2 1,068.75 1,068.75 1,112.25
S3 993.75 1,022.25 1,105.50
S4 918.75 947.25 1,084.75
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 1,085.25 104.75 9.6% 39.50 3.6% 1% False True 3,098,111
10 1,214.50 1,085.25 129.25 11.9% 40.75 3.8% 1% False True 3,250,632
20 1,214.50 1,085.25 129.25 11.9% 36.50 3.4% 1% False True 2,813,711
40 1,223.75 1,071.50 152.25 14.0% 40.00 3.7% 10% False False 1,413,173
60 1,342.00 1,071.50 270.50 24.9% 35.50 3.3% 5% False False 943,002
80 1,348.75 1,071.50 277.25 25.5% 31.50 2.9% 5% False False 707,494
100 1,348.75 1,071.50 277.25 25.5% 28.00 2.6% 5% False False 566,016
120 1,361.00 1,071.50 289.50 26.7% 25.75 2.4% 5% False False 471,721
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 8.65
Widest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1,338.50
2.618 1,259.75
1.618 1,211.50
1.000 1,181.75
0.618 1,163.25
HIGH 1,133.50
0.618 1,115.00
0.500 1,109.50
0.382 1,103.75
LOW 1,085.25
0.618 1,055.50
1.000 1,037.00
1.618 1,007.25
2.618 959.00
4.250 880.25
Fisher Pivots for day following 03-Oct-2011
Pivot 1 day 3 day
R1 1,109.50 1,128.00
PP 1,101.75 1,114.00
S1 1,094.00 1,100.25

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

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