E-mini S&P 500 Future December 2011


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Trading Metrics calculated at close of trading on 05-Oct-2011
Day Change Summary
Previous Current
04-Oct-2011 05-Oct-2011 Change Change % Previous Week
Open 1,087.50 1,114.50 27.00 2.5% 1,122.00
High 1,119.75 1,141.25 21.50 1.9% 1,190.00
Low 1,068.00 1,106.50 38.50 3.6% 1,115.00
Close 1,113.50 1,135.00 21.50 1.9% 1,126.00
Range 51.75 34.75 -17.00 -32.9% 75.00
ATR 38.81 38.52 -0.29 -0.7% 0.00
Volume 4,171,362 3,018,143 -1,153,219 -27.6% 15,078,962
Daily Pivots for day following 05-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,231.75 1,218.25 1,154.00
R3 1,197.00 1,183.50 1,144.50
R2 1,162.25 1,162.25 1,141.25
R1 1,148.75 1,148.75 1,138.25 1,155.50
PP 1,127.50 1,127.50 1,127.50 1,131.00
S1 1,114.00 1,114.00 1,131.75 1,120.75
S2 1,092.75 1,092.75 1,128.75
S3 1,058.00 1,079.25 1,125.50
S4 1,023.25 1,044.50 1,116.00
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 1,170.75 1,068.00 102.75 9.1% 42.00 3.7% 65% False False 3,327,011
10 1,190.00 1,068.00 122.00 10.7% 41.50 3.7% 55% False False 3,384,566
20 1,214.50 1,068.00 146.50 12.9% 37.50 3.3% 46% False False 3,157,758
40 1,223.75 1,068.00 155.75 13.7% 37.75 3.3% 43% False False 1,592,312
60 1,342.00 1,068.00 274.00 24.1% 36.25 3.2% 24% False False 1,062,778
80 1,348.75 1,068.00 280.75 24.7% 32.00 2.8% 24% False False 797,357
100 1,348.75 1,068.00 280.75 24.7% 28.50 2.5% 24% False False 637,910
120 1,361.00 1,068.00 293.00 25.8% 26.25 2.3% 23% False False 531,628
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
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 9.55
Narrowest range in 11 trading days
Fibonacci Retracements and Extensions
4.250 1,289.00
2.618 1,232.25
1.618 1,197.50
1.000 1,176.00
0.618 1,162.75
HIGH 1,141.25
0.618 1,128.00
0.500 1,124.00
0.382 1,119.75
LOW 1,106.50
0.618 1,085.00
1.000 1,071.75
1.618 1,050.25
2.618 1,015.50
4.250 958.75
Fisher Pivots for day following 05-Oct-2011
Pivot 1 day 3 day
R1 1,131.25 1,125.00
PP 1,127.50 1,114.75
S1 1,124.00 1,104.50

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

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