E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 19-Oct-2011
Day Change Summary
Previous Current
18-Oct-2011 19-Oct-2011 Change Change % Previous Week
Open 1,194.00 1,222.75 28.75 2.4% 1,157.75
High 1,229.75 1,227.25 -2.50 -0.2% 1,221.50
Low 1,185.50 1,201.50 16.00 1.3% 1,156.50
Close 1,223.00 1,206.50 -16.50 -1.3% 1,219.25
Range 44.25 25.75 -18.50 -41.8% 65.00
ATR 34.99 34.33 -0.66 -1.9% 0.00
Volume 2,979,505 2,426,086 -553,419 -18.6% 10,794,485
Daily Pivots for day following 19-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,289.00 1,273.50 1,220.75
R3 1,263.25 1,247.75 1,213.50
R2 1,237.50 1,237.50 1,211.25
R1 1,222.00 1,222.00 1,208.75 1,217.00
PP 1,211.75 1,211.75 1,211.75 1,209.25
S1 1,196.25 1,196.25 1,204.25 1,191.00
S2 1,186.00 1,186.00 1,201.75
S3 1,160.25 1,170.50 1,199.50
S4 1,134.50 1,144.75 1,192.25
Weekly Pivots for week ending 14-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,394.00 1,371.75 1,255.00
R3 1,329.00 1,306.75 1,237.00
R2 1,264.00 1,264.00 1,231.25
R1 1,241.75 1,241.75 1,225.25 1,253.00
PP 1,199.00 1,199.00 1,199.00 1,204.75
S1 1,176.75 1,176.75 1,213.25 1,188.00
S2 1,134.00 1,134.00 1,207.25
S3 1,069.00 1,111.75 1,201.50
S4 1,004.00 1,046.75 1,183.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,230.75 1,185.25 45.50 3.8% 31.00 2.6% 47% False False 2,460,342
10 1,230.75 1,129.00 101.75 8.4% 30.00 2.5% 76% False False 2,435,425
20 1,230.75 1,068.00 162.75 13.5% 35.75 3.0% 85% False False 2,909,995
40 1,230.75 1,068.00 162.75 13.5% 34.50 2.9% 85% False False 2,199,527
60 1,322.75 1,068.00 254.75 21.1% 38.00 3.2% 54% False False 1,468,330
80 1,348.75 1,068.00 280.75 23.3% 33.25 2.8% 49% False False 1,101,640
100 1,348.75 1,068.00 280.75 23.3% 30.25 2.5% 49% False False 881,438
120 1,361.00 1,068.00 293.00 24.3% 27.75 2.3% 47% False False 734,557
Crabel Price Patterns
NR True
NR4 True
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR True
Bear Hook False
Bull Hook False
Stretch 6.65
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,336.75
2.618 1,294.75
1.618 1,269.00
1.000 1,253.00
0.618 1,243.25
HIGH 1,227.25
0.618 1,217.50
0.500 1,214.50
0.382 1,211.25
LOW 1,201.50
0.618 1,185.50
1.000 1,175.75
1.618 1,159.75
2.618 1,134.00
4.250 1,092.00
Fisher Pivots for day following 19-Oct-2011
Pivot 1 day 3 day
R1 1,214.50 1,208.00
PP 1,211.75 1,207.50
S1 1,209.00 1,207.00

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

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