E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 13-Oct-2011
Day Change Summary
Previous Current
12-Oct-2011 13-Oct-2011 Change Change % Previous Week
Open 1,187.50 1,198.50 11.00 0.9% 1,123.00
High 1,216.00 1,204.25 -11.75 -1.0% 1,173.75
Low 1,180.75 1,185.25 4.50 0.4% 1,068.00
Close 1,198.25 1,198.00 -0.25 0.0% 1,155.00
Range 35.25 19.00 -16.25 -46.1% 105.75
ATR 35.67 34.48 -1.19 -3.3% 0.00
Volume 2,558,741 2,316,227 -242,514 -9.5% 16,455,417
Daily Pivots for day following 13-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,252.75 1,244.50 1,208.50
R3 1,233.75 1,225.50 1,203.25
R2 1,214.75 1,214.75 1,201.50
R1 1,206.50 1,206.50 1,199.75 1,201.00
PP 1,195.75 1,195.75 1,195.75 1,193.25
S1 1,187.50 1,187.50 1,196.25 1,182.00
S2 1,176.75 1,176.75 1,194.50
S3 1,157.75 1,168.50 1,192.75
S4 1,138.75 1,149.50 1,187.50
Weekly Pivots for week ending 07-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,449.50 1,408.00 1,213.25
R3 1,343.75 1,302.25 1,184.00
R2 1,238.00 1,238.00 1,174.50
R1 1,196.50 1,196.50 1,164.75 1,217.25
PP 1,132.25 1,132.25 1,132.25 1,142.50
S1 1,090.75 1,090.75 1,145.25 1,111.50
S2 1,026.50 1,026.50 1,135.50
S3 920.75 985.00 1,126.00
S4 815.00 879.25 1,096.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,216.00 1,144.75 71.25 5.9% 26.50 2.2% 75% False False 2,293,004
10 1,216.00 1,068.00 148.00 12.4% 33.75 2.8% 88% False False 2,803,323
20 1,216.00 1,068.00 148.00 12.4% 35.00 2.9% 88% False False 2,958,543
40 1,223.75 1,068.00 155.75 13.0% 35.50 3.0% 83% False False 1,950,463
60 1,342.00 1,068.00 274.00 22.9% 37.00 3.1% 47% False False 1,302,077
80 1,348.75 1,068.00 280.75 23.4% 32.75 2.7% 46% False False 976,892
100 1,348.75 1,068.00 280.75 23.4% 29.25 2.5% 46% False False 781,584
120 1,361.00 1,068.00 293.00 24.5% 27.00 2.2% 44% False False 651,348
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 7.70
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,285.00
2.618 1,254.00
1.618 1,235.00
1.000 1,223.25
0.618 1,216.00
HIGH 1,204.25
0.618 1,197.00
0.500 1,194.75
0.382 1,192.50
LOW 1,185.25
0.618 1,173.50
1.000 1,166.25
1.618 1,154.50
2.618 1,135.50
4.250 1,104.50
Fisher Pivots for day following 13-Oct-2011
Pivot 1 day 3 day
R1 1,197.00 1,198.50
PP 1,195.75 1,198.25
S1 1,194.75 1,198.00

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

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