E-mini S&P 500 Future December 2011


Trading Metrics calculated at close of trading on 03-Nov-2011
Day Change Summary
Previous Current
02-Nov-2011 03-Nov-2011 Change Change % Previous Week
Open 1,223.50 1,234.25 10.75 0.9% 1,229.75
High 1,238.75 1,259.75 21.00 1.7% 1,289.25
Low 1,216.50 1,213.50 -3.00 -0.2% 1,216.50
Close 1,234.25 1,255.75 21.50 1.7% 1,281.00
Range 22.25 46.25 24.00 107.9% 72.75
ATR 32.08 33.09 1.01 3.2% 0.00
Volume 2,238,819 2,822,944 584,125 26.1% 12,513,307
Daily Pivots for day following 03-Nov-2011
Classic Woodie Camarilla DeMark
R4 1,381.75 1,365.00 1,281.25
R3 1,335.50 1,318.75 1,268.50
R2 1,289.25 1,289.25 1,264.25
R1 1,272.50 1,272.50 1,260.00 1,281.00
PP 1,243.00 1,243.00 1,243.00 1,247.25
S1 1,226.25 1,226.25 1,251.50 1,234.50
S2 1,196.75 1,196.75 1,247.25
S3 1,150.50 1,180.00 1,243.00
S4 1,104.25 1,133.75 1,230.25
Weekly Pivots for week ending 28-Oct-2011
Classic Woodie Camarilla DeMark
R4 1,480.50 1,453.50 1,321.00
R3 1,407.75 1,380.75 1,301.00
R2 1,335.00 1,335.00 1,294.25
R1 1,308.00 1,308.00 1,287.75 1,321.50
PP 1,262.25 1,262.25 1,262.25 1,269.00
S1 1,235.25 1,235.25 1,274.25 1,248.75
S2 1,189.50 1,189.50 1,267.75
S3 1,116.75 1,162.50 1,261.00
S4 1,044.00 1,089.75 1,241.00
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,284.25 1,208.50 75.75 6.0% 31.00 2.5% 62% False False 2,575,647
10 1,289.25 1,208.00 81.25 6.5% 31.75 2.5% 59% False False 2,558,804
20 1,289.25 1,144.75 144.50 11.5% 30.50 2.4% 77% False False 2,496,833
40 1,289.25 1,068.00 221.25 17.6% 34.25 2.7% 85% False False 2,866,737
60 1,289.25 1,068.00 221.25 17.6% 34.75 2.8% 85% False False 1,941,978
80 1,342.00 1,068.00 274.00 21.8% 35.00 2.8% 69% False False 1,457,550
100 1,348.75 1,068.00 280.75 22.4% 32.00 2.5% 67% False False 1,166,280
120 1,348.75 1,068.00 280.75 22.4% 29.00 2.3% 67% False False 971,928
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.13
Widest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,456.25
2.618 1,380.75
1.618 1,334.50
1.000 1,306.00
0.618 1,288.25
HIGH 1,259.75
0.618 1,242.00
0.500 1,236.50
0.382 1,231.25
LOW 1,213.50
0.618 1,185.00
1.000 1,167.25
1.618 1,138.75
2.618 1,092.50
4.250 1,017.00
Fisher Pivots for day following 03-Nov-2011
Pivot 1 day 3 day
R1 1,249.50 1,248.50
PP 1,243.00 1,241.25
S1 1,236.50 1,234.00

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

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