E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 24-Oct-2011
Day Change Summary
Previous Current
21-Oct-2011 24-Oct-2011 Change Change % Previous Week
Open 1,208.75 1,229.75 21.00 1.7% 1,218.25
High 1,235.75 1,252.50 16.75 1.4% 1,235.75
Low 1,208.00 1,226.75 18.75 1.6% 1,185.50
Close 1,235.25 1,247.00 11.75 1.0% 1,235.25
Range 27.75 25.75 -2.00 -7.2% 50.25
ATR 33.16 32.63 -0.53 -1.6% 0.00
Volume 2,108,610 2,001,503 -107,107 -5.1% 12,797,227
Daily Pivots for day following 24-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,319.25 1,309.00 1,261.25
R3 1,293.50 1,283.25 1,254.00
R2 1,267.75 1,267.75 1,251.75
R1 1,257.50 1,257.50 1,249.25 1,262.50
PP 1,242.00 1,242.00 1,242.00 1,244.75
S1 1,231.75 1,231.75 1,244.75 1,237.00
S2 1,216.25 1,216.25 1,242.25
S3 1,190.50 1,206.00 1,240.00
S4 1,164.75 1,180.25 1,232.75
Weekly Pivots for week ending 21-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,369.50 1,352.75 1,263.00
R3 1,319.25 1,302.50 1,249.00
R2 1,269.00 1,269.00 1,244.50
R1 1,252.25 1,252.25 1,239.75 1,260.50
PP 1,218.75 1,218.75 1,218.75 1,223.00
S1 1,202.00 1,202.00 1,230.75 1,210.50
S2 1,168.50 1,168.50 1,226.00
S3 1,118.25 1,151.75 1,221.50
S4 1,068.00 1,101.50 1,207.50
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,252.50 1,185.50 67.00 5.4% 29.50 2.4% 92% True False 2,482,765
10 1,252.50 1,180.75 71.75 5.8% 28.00 2.3% 92% True False 2,381,774
20 1,252.50 1,068.00 184.50 14.8% 33.00 2.7% 97% True False 2,702,127
40 1,252.50 1,068.00 184.50 14.8% 33.50 2.7% 97% True False 2,373,511
60 1,304.00 1,068.00 236.00 18.9% 38.25 3.1% 76% False False 1,585,041
80 1,348.75 1,068.00 280.75 22.5% 33.50 2.7% 64% False False 1,189,203
100 1,348.75 1,068.00 280.75 22.5% 30.50 2.4% 64% False False 951,519
120 1,348.75 1,068.00 280.75 22.5% 28.00 2.3% 64% False False 792,956
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
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 6.00
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,362.00
2.618 1,320.00
1.618 1,294.25
1.000 1,278.25
0.618 1,268.50
HIGH 1,252.50
0.618 1,242.75
0.500 1,239.50
0.382 1,236.50
LOW 1,226.75
0.618 1,210.75
1.000 1,201.00
1.618 1,185.00
2.618 1,159.25
4.250 1,117.25
Fisher Pivots for day following 24-Oct-2011
Pivot 1 day 3 day
R1 1,244.50 1,238.75
PP 1,242.00 1,230.75
S1 1,239.50 1,222.50

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

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